I want to get the residual of the signal equation in following state space model
@signal yt= c(1)+xt*sv(1)+z(t-1)*sv(2)+[var=exp(c(2))]
@state sv1=sv1(-1)
@state sv2=sv2(-1)
How can i get the estimate residual of the signal equation
Thanks very much
Search found 3 matches
- Mon Mar 15, 2010 7:41 pm
- Forum: Estimation
- Topic: The state space model' residual
- Replies: 1
- Views: 2837
- Mon Jun 15, 2009 1:11 am
- Forum: Estimation
- Topic: Ask for help about State Space model wiht big z-Statistic
- Replies: 3
- Views: 5670
Re: Ask for help about State Space model wiht big z-Statistic
HI, I have added the eviews workfile on the attachment, so everyone can check my problems on the workfile, thanks a lot! And i have checked trubador'solutions, but none of them suit my problem, z-Statistic is too big, who can help me to solve it, thanks! while i have anther problem: when i run the e...
- Sun Jun 14, 2009 12:16 am
- Forum: Estimation
- Topic: Ask for help about State Space model wiht big z-Statistic
- Replies: 3
- Views: 5670
Ask for help about State Space model wiht big z-Statistic
today, i use the following equations lex = c(1)+c(2)*lex(-1)+sv1*lex_pri+[var=exp(c(3))] @state sv1=sv1(-1) the estimation result amazed me, the z-Statistic is more than one hundred thousand,what wrong with my result, who can help me? the estimation result: Sspace: S_PRI Method: Maximum likelihood (...
