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by smilesym1982
Mon Mar 15, 2010 7:41 pm
Forum: Estimation
Topic: The state space model' residual
Replies: 1
Views: 2837

The state space model' residual

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
by smilesym1982
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...
by smilesym1982
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 (...

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