Proc/Make State Series...
EViews 7 User's Guide II, p. 508
Search found 2 matches
- Wed Apr 11, 2012 2:54 am
- Forum: Estimation
- Topic: Kalman filter - time varying coefficient
- Replies: 2
- Views: 2919
Re: Kalman filter - time varying coefficient
Thanks Glenn!
- Tue Apr 10, 2012 11:19 am
- Forum: Estimation
- Topic: Kalman filter - time varying coefficient
- Replies: 2
- Views: 2919
Kalman filter - time varying coefficient
Hi, I'm new to Eviews. I am trying to use Kalman filter to estimate time varying coefficient alpha and beta for CAPM. My model is as follows @signal Ri = sv1 + sv2*Rm + [var = exp(c(1))] @state sv1 = sv1(-1) + [var = exp(c(2))] @state sv2 = sv2(-1) + [var = exp(c(3))] I want to view the whole list o...