Urgent - state space model

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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workhard
Posts: 8
Joined: Sun Jul 12, 2009 10:51 pm

Urgent - state space model

Postby workhard » Sun Jul 12, 2009 11:56 pm

Hi,

I am trying the State Space Kalman Filter in Eviews to fit a single series.
I encounter a problem that when the series is fitted in a same model but different workfile(the data, equations and setting are exactly the same except I do in different workfile) the results might be very different. What is the reason behind? Is it something to do with the optimisation algolrithms used in Eviews in solving the SS model?

Also, sometimes i get the warning "WARNING: Singular covariance - coefficients are not unique" and the std.error, z-statistics & Prob show "NA". The model below is one of the example that I faced this problem. Can anyone tell me what is the problem?
@signal rklci = c(1)*sv1 + sv2
@state sv1 = c(2)*sv1(-1) + (1-c(2))*sv2(-1) + [var = exp(c(3))]
@state sv2 = c(4)*sv2(-1) + [var = exp(c(5))]

Appreaciate the reply from any helpful person..

trubador
Did you use forum search?
Posts: 1520
Joined: Thu Nov 20, 2008 12:04 pm

Re: Urgent - state space model

Postby trubador » Mon Jul 13, 2009 12:07 am

Please search the forum for similar problems.

workhard
Posts: 8
Joined: Sun Jul 12, 2009 10:51 pm

Re: Urgent - state space model

Postby workhard » Mon Jul 13, 2009 8:18 am

Able to get the result after refer to the previous forum..

Thanks a lot :D


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