EViews.com

Any further assistance would really help. I'm quite confused as to why the results from EViews seem different to what I'd expect given the derivation I posted.

Sure, that makes sense! I'm following along with this derivation: https://users.ece.cmu.edu/~byronyu/papers/derive_ks.pdf. As far as I can tell, the steps for the covariance are: 1) Form a 1-step ahead prediction of the system covariance (using equation 7). 2) Compute the Kalman gain (using equation...

Perfect, that makes a lot of sense! Then my one-step-ahead prediction for the mean will be 0. I'm a little confused around the one-step-ahead prediction for the covariance matrix - the textbook I have says you can calculate it by A*V_(t-1)*A'+Q . In my case, A=1, Q = 1, and V_0 is 1000000, so am I r...

Thanks Trubador, I've looked there, but can't square that up with what I'm seeing in the output. As far as I can tell, all of my system matrices here are equal to 1. T is 1, Z is 1, Omega is time-invariant and is equal to eye(2) (i.e. Q=P=1, G = 0). So, based on this (and the User Guide II pg 603-60...

I'm estimating a state-space model in EViews (8), and I'm wondering how EViews determines the mean and covariance at time t=1 (and relatedly, at t=0). I've uploaded an example workfile. I've kept it all very simple: an observation series that takes a value of 1,000 each period 1900 to 1999, then a s...