Search found 2 matches

by ouhdan
Mon Nov 01, 2010 7:47 am
Forum: Programming
Topic: extract trend and cycle with kalman filter
Replies: 2
Views: 3079

Re: extract trend and cycle with kalman filter

i used the the folow specification

@signal expott = sv1+ sv2
@state sv1 = sv1(-1) + [var = exp(c(1))]
@state sv2 = c(3)*sv2(-1) + [var = exp(c(2))]

i dont have the output sv1 et sv2
by ouhdan
Wed Oct 27, 2010 4:37 am
Forum: Programming
Topic: extract trend and cycle with kalman filter
Replies: 2
Views: 3079

extract trend and cycle with kalman filter

Good day, someone can help me to write a programm that allow to me to extract trend end cycle for series with kalman filter, am using Eviews 5 ,Thanks.
my email ouhdanyassine@gmail.com

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