EViews.com

Hi Trubador, I specified the sspace with all the parameters in place, 36 of them, I was trying to estimate the sspace and a message appeared -WARNING: Singular covariance - coefficients are not unique. I try looking again at the equations and I don't know what I've did wrong. The Kalman filter shoul...

Yes, I have also to add a constant to the VAR (1) , the mean state vector μ (3x1) , hence all 36 parameters are there.
Thank you.
Regards,
I.D.

I am adding an Eviews file with just the sspace and the variables for you to have a look and tell me what u think. I still have to add 3 parameters, I am not sure if are the mean state vector µ (3x1) or the Q matrix which contains 6 parameters - 3 disturbance for each factor I think I have that and ...

Thank you Trubador for your replay, I have all the other signal equations but I need to write them according to my model , since the factor loadings are an exponential factor of the parameter lambda and maturity t ,and is there where I am not quite sure how should I handle it. I've already read the ...

Hi, I need help in setting the Nelson Siegel model interpreted by Diebold and(2006) and then set up in state space framework Diebold,Rudebusch and Arouba (2006). The paper is called ' The macroeconomy and the yield curve: a dynamic latent factor approach ‘ , Journal of Econometrics 309-338. I’ve sta...