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How can I get this .prg file in EViews? Browsed through net but didn't find anything.

Hi I am interested in estimating a 2 variable VAR, variables being x1 and x2 for p no. of lags. I want to impose block exogeneity whereby I can ensure that variable x1 does not impact x2 (x2 determined only by its lags) wheres x1 does not have such restrictions and is dependent on x1 as well as x2. ...

Yes, it can be done. Plz read the help document for state space estimation. It beautifully explains how to solve such equations. Thank you

Ok thank you. there is one more doubt. In the estimation of state space models do we need to account for the non stationarity in may data?

Actually the series y1, y2 and y3 are in the form of (inflation expectations - target inflation) as in the paper by Strohsal et al. (2016) published in Journal of Macroeconomics. They have not used an intercept. Can you plz elaborate. Thank you

Try different starting values. Though the results that you get there suggest that the coefficient on Y3 is not a random walk as the variance estimate is approaching zero. Thank you for your reply. Let me try with different starting values. Are you sure you don't want an intercept? I am replicating ...

Thank you for your reply. I estimated a state space model with the following equations: @signal y1 = sv1*y2 + sv2*y3 + [var = exp(c(1))] @state sv1 = sv1(-1) + [var = exp(c(2))] @state sv2 = sv2(-1) + [var = exp(c(3))] The results I get show me a warning signal as well as few other comments which I ...

Can we estimate a MSVAR model in Eviews 9? If yes plz reply with a link to available information. What I found is that Eviews allows Markov switching in a univariate framework.

Plz advise me on estimation of time varying parameters in state space models or how to use kalman filter for time varying models in eviews. The state space model webpage in eviews gives an explanation for constant coefficient models and not time varying ones.