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Eviews shows the message: Missing value found in state variance matrix. I tried to set parameters in such way: param c(1) .0 c(2) .0 c(3) .0 c(4) .0 c(5) .0 c(6) .0 c(7) .0 (I found your tip on forum), but it didn't work. My another doubt is I have NA for z-Statistics (when I try to check solution f...

I formulated my model in this way: @signal dlnc = sv1 + sv2 * dlng + sv3 * dlny + [var = exp(c(1))] @state sv1 = sv1(-1) + [ename=e1, var = exp(c(2))] @state sv2 = sv2(-1) + [ename=e2, var = exp(c(3))] @state sv3 = sv3(-1) + [ename=e3, var = exp(c(4))] @evar cov(e1,e2) = c(5) @evar cov(e1,e3) = c(6)...

Thank you for such quick answer.

I forgot to write that Q in transition equation is covariance matrix. Is there no difference beetwen specification of error in measurement and transition equation?

I want to specify linear regression with timevarying parameters, written as yt = xtβt + et et ∼ N(0, σ2) // measurement equation βt = βt−1 + vt vt ∼ N(0, Q) // transition equation where yt = ΔCt and xt = [ 1 ΔYt ΔGt ] and β't = [ β0t β1t β2t ] Generally my main problem is how to write an error Is my...