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Hi Gareth, Could you please clarify what you meant by "tighter convergence criteria"? Following your advice, I have tried various combinations of starting parameters and re-specifying the state equations however I have not had much luck still. With the following specification for instance,...

Hi, could somebody please help me clarify what I am doing wrong. I keep getting “NA”s in the standard error and t-statistic columns for my constants (c(1)…c(3)) in the following SSPACE model. Essentially, I am trying to estimate the following regression in order to obtain βt, the time-varying parame...

Hi,

I just want to clarify if it is unusual to have high standard errors (e.g. in the range 2-10) for the forecast error variance decompositions when estimating a VAR model with a small sample of about 60 observations.

Thanks!

Thanks Gareth.

Hi, Could somebody please help me with the following. I would like to conduct dynamic cointegration tests in order to trace the time path of the trace statistics. I am using eviews 7 which has a "Roll" Add-in for conducting rolling regressions. However, when I try to use this feature to ru...