EViews.com

Thank you very much for your quick answer ! By usual diagnostic you think of standard coefficient significativity, Akaike info criterion and Schwarz criterion ? Am I omitting important check ?

Thank you again

Hello, I saw various subject on the forum dealing with how to include garch effect into the state space object. As it require to use a modified kalman filter to deal with the non-linearity, there is no solution directly in Eviews. My objective is to estimate a CAPM and to get thanks to the kalman fi...

I am in the same situation as you were. Did you program the statistic all by yourself or did you find any solution ?

thank you