As I understand, EViews does not perform the exact diffuse initialisation of the initial state matrices, as outlined in Durbin and Koopman pg 126 - please correct me if I am wrong? Two questions:
1) The help page states: "EViews uses the authors’ recommendation that one first set and then adjust it for scale by multiplying by the largest diagonal element of the residual covariances."
- When estimating hyperparameters (via ML) is P(1|0) updated with each iteration using the procedure above until convergence?
2) Is anyone aware of an EViews subroutine / add-in / code example which does calculate the exact initialisation?
For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.
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