Search found 2 matches
- Fri Jan 19, 2024 1:45 am
- Forum: Estimation
- Topic: State Space for time varying GARCH-M (1,1)
- Replies: 0
- Views: 32717
State Space for time varying GARCH-M (1,1)
Dear All I am trying to know if it is possible to model this time varying GARCH-M (1,1) in State Space form with EVIEWS: Y(t)=b0+b1*Y(t-1)+b2*h(t)+e(t) : Return Eq. h(t)=c0+c1*h(t-1)+c2*(et(t-1))^2 :Variance Eq. b1(t)=b1(t-1)+w1(t) :Random walk b1(t) I know it is possible in a general program like M...
- Mon Jan 15, 2024 10:38 pm
- Forum: Estimation
- Topic: Estimating state space model for GARCH(1,1)
- Replies: 18
- Views: 119881
Re: Estimating state space model for GARCH(1,1)
The extended Kalman filter is not supported in EViews.
Dear All,
In the current 13 version of EVIEWS, is it now possible to model nonlinear state space for example Extended Kalman Filter or not?