Kalman Filter Series

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facosta
Posts: 23
Joined: Wed Jul 07, 2010 9:16 am

Kalman Filter Series

Postby facosta » Wed Jan 19, 2011 10:35 am

Hello. Thank you for the help here.
I wanted to ask you if there is a way to get the series from a State Space representation as spreadsheet. The thing is that I am using the Kalman Filter to get an estimation for an unobserved series, and now I want to estimate the correlation between that unobserved factor and the actual data. ¿Is there a way to get the series for this unobserved component as spradsheet and/or to estimate the correlation between it and the actual series?
I know there is a command "@sm_state" but I just can´t make it work, sure I am doing something wrong.
Thank you very much!
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EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: Kalman Filter Series

Postby EViews Glenn » Wed Jan 19, 2011 11:43 am

Use the makestates proc.
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