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Hi Everyone, I have developed a Svensson code for state space modelling?....The results I get when I make Kalman Filter, State Series and Signal Series are a bit confusing and dont look correct. I am jsut wondering if it has something to do with my code or the data itself.... I just wanted to aolso ...

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 origi...

Thanks, the above assisted but now I get another error if I just take data (yields) for one day....The error says "Insufficient Number of Observations" that this have to do with the data itself? Is it a requirement to have more data and if thats the case how will one get a daily yield curv...

@ssym thank you it worked but why did I have to remove it?

I have the formula below I am trying to estimate the Nelson Siegel model using state space, it is giving me errors but I cant seem to find out what exatcly is the problem. @signal _91_days = c(1)*sv1+sv2*((1-exp(-3*c(1))))/(c(1)*3))+sv3*(((1-exp(-3*c(1)))/c(1)*3)-exp(-c(1)*3)))+[var=exp(c(4))] @sign...