SSpace Estimation and Foreacasting

[farrel]

to Gareth:
I'm studying Sspace models estimating with Kalman filter and not always able to understand all calculation principles.
Is it possible to show Sspace estimation steps in Excel - how calculations are performed and how we can mimic those calculations in Excel? (let say for very simple model!) As it has done in topic about ARMA here:
viewtopic.php?f=7&t=465

In order to deeper understand the nature of calculations in Eviews.
For instance, it might be Eviews 6.0 Example file --> airline.wf1 --> ARMA(2,1) ....

[EViews Gareth]

I don't think it would be possible to replicate a SSpace estimation in Excel.

Excel lacks many of the tools required to perform such an estimation. Your best bet for trying to understand statespace estimation is probably to read through the references we cite in the manuals

[rpn4]

Take a look at Andrew Harvey's (1989) book on the Kalman Filter for a very nice discussion of the estimation procedure.