I changed the start value and now it is working, thanks !!!You have a singular matrix during estimation. Try playing with starting values. It may be that your model is simply badly specified and is truly singular at all coefficient values though.
Search found 3 matches
- Thu Jan 10, 2013 5:36 pm
- Forum: Estimation
- Topic: parameter estimation with Kalman Filter
- Replies: 16
- Views: 17376
Re: parameter estimation with Kalman Filter
- Thu Jan 10, 2013 3:34 pm
- Forum: Estimation
- Topic: parameter estimation with Kalman Filter
- Replies: 16
- Views: 17376
Re: parameter estimation with Kalman Filter
Should: @signal lcl1=exp(-C(1)*(1/12))*sv1+sv2+C(6)*(1/12)-(1-exp(-C(1)*(1/12)))*(C(3)/C(1))+(1/2)*(1-exp(-2*C(1)*(1/12)))*((C(2)*C(2))/(2*C(1)))+(1/2)*(C(4)*C(4)*1/12)+ (1-exp(-1*C(1)*(1/12)))*C(7)*C(2)*C(4)/C(1)+[ename=e3] be: @signal lcl1=exp(-C(1)*(1/12))*sv1+sv2+C(6)*(1/12)-(1-exp(-C(1)*(1/12)...
- Thu Jan 10, 2013 2:31 pm
- Forum: Estimation
- Topic: parameter estimation with Kalman Filter
- Replies: 16
- Views: 17376
parameter estimation with Kalman Filter
Hi I’m trying to make a Sspace model to estimate the state variable and parameter of the Smith & Schwartz (2000) two-factor price model. I’m using data from WTI future contract with maturity in 1,6,12,18 and 24 months. Eviews is reporting a syntax error in my code: “(1-exp(-C(1)*(1/12)))*C(7)*C(...