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Thank you startz, that did give me their final values, but it also gave me large standard errors. Do you have any advice? rodneyleshaba, try to estimate the model without c(1) next to sv1 in your signal equation and then make state series. To better understand the output I suggest you to read origin...

Hi, I' ve been reading your posts, as I have almost the same problem. I need help in estimating Diebold, Rudebusch and Arouba (2006) yields-macro model. I managed to obtain same results as in their yields-only model, but failed to replicate their yields-macro model. My suspect is that this is due to...