Including Sspace object in a Model object

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skan
Posts: 4
Joined: Fri Aug 14, 2020 2:17 am

Including Sspace object in a Model object

Postby skan » Fri Aug 14, 2020 5:46 am

Dear All,

what can be gained by including state-space models (Sspace) in a model object (Sspace menu option: Proc: Make Model)?

I was hoping that several state-space models can thus be solved simultaneously, effectively linking them with other objects and identities. However, unlike with Equation or VAR objects, this does not seem to work, as including a Sspace object in a Model object and solving the lat-ter generates an error: "S1_0 is not defined", which is the state of the Sspace model.

I would greatly appreciate any ideas or examples on the intended functionality of Proc: Make Model in the case of Sspace.

skan

EViews Glenn
EViews Developer
Posts: 2671
Joined: Wed Oct 15, 2008 9:17 am

Re: Including Sspace object in a Model object

Postby EViews Glenn » Fri Aug 14, 2020 8:59 am

You are correct that it does not allow for solution of the model without prior specification of the underlying observed states and in that respect it is limiting. In a sense it is akin to embedding an equation object in a model without providing exogenous series.

In the event that one does generate values of the unobserved states, and then embeds the state space object in a model, one can solve the model without manually entering the specification, along with coefficients, into the model. That is the sense in which it is useful to allow embedding.


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