could not replicate the "Final State" in a state-space object

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Joined: Fri Jan 07, 2011 12:49 pm

could not replicate the "Final State" in a state-space object

Postby wilshire » Wed Jun 08, 2022 5:33 am

Dear EViews,

I have a question about the Final State in the state-space model.

For example, in the workfile

"c:\program files\eviews 12\example files\ev12 manual data\chapter 48 - state space models and the kalman filter\airline.wf1"

there is a state-space object called SS_ARMA21. In it, there are estimated "Final State". However, I could not produce these values from the menu of "Proc | Make State Series".

Could you please explain why?

Thanks very much.

Posts: 2
Joined: Mon Jun 07, 2021 6:46 am

Re: could not replicate the "Final State" in a state-space object

Postby Ogi » Thu Jun 16, 2022 10:18 pm

I'm not sure why it happens, but the following commands may help you.

vector(2) final_state
final_state = ss_arma21.@final_state

Also, I found the following description. ... ce.html%23

State and Signal Results
The following functions allow you to extract the filter and smoother results for the estimation sample and place them in matrix objects. In some cases, the results overlap those available thorough the sspace procs, while in other cases, the matrix results are the only way to obtain the results.
Note also that since the computations are only for the estimation sample, the one-step-ahead predicted state and state standard error values will not match the final values displayed in the estimation output. The latter are the predicted values for the first out-of-estimation sample period.

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