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Hi, Thanks again. Can I clarify this please; my state variable is meant to be the long run trend value of one regressor? In that case, how to modify the following state equation, making a link to the regressor in the signal equation, pleasse? @state sv1 = sv1(-1) + [var = exp(c(4))] PS: I tried with...

Hi, Many thanks for the reply. I tried the following model: @signal gdp = c(1)*gdp(-1) + c(2)*trade(-1) + [var = exp(c(3))] @state sv1 = sv1(-1) + [var = exp(c(4))] However, I get the following warning and the results are incomplete, as shown below. WARNING: Singular covariance - coefficients are no...

Hi, I want to estimate a multi-variate state-space model. My signal equation is as below (all observed variables): @signal gdp = c(1)*gdp(-1) + c(2)*trade(-1) + [var = exp(c(3))] Now I want to include an unobserved state variable which follows a random-walk process without a drift. Please help! Many...