State space specification

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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wedira
Posts: 4
Joined: Sun Dec 19, 2010 3:21 pm

State space specification

Postby wedira » Sun Mar 27, 2011 12:55 pm

Hi,

I cannot deal with specifying the following model

R(t)= c + beta(t)*M + error

beta(t)= X(t) + Y(t)
X(t) = X(t-1) + error
Y(t) = gamma*Y(t-1) + error

X and Y are the two components. X is the random walk, Y - AR(1) processs.
I don't know how to specify in EViews the state equation:
beta(t)= X(t) + Y(t)
Can anybody give me some hint?

EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: State space specification

Postby EViews Glenn » Mon Mar 28, 2011 9:05 am

R(t)= c + X(t)*M + Y(t)*M + error

wedira
Posts: 4
Joined: Sun Dec 19, 2010 3:21 pm

Re: State space specification

Postby wedira » Sat Apr 16, 2011 9:11 am

Thanks :)


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