roll regressions for stability test

[Aktar]

Hi

i want to preform cusum test for my state space models but it don't exist !
so i have make a look on the basic roll programm in eviews.

i don't want to make forcasting just have the evolution of the coefficient of the models for make stability test. some one can help me and shox me a programm to run ? it is very important it is for my master degree and im a newb in programming and in econometrics, if some one can take just few minute

thanks very much !

[Aktar]

i just want to build cusum test for the random coefficient c(7) and c(4) of my state equations...

my model is like this :

Code: Select all

@signal volg = sv1 + sv2*libor + [var = exp(c(1))] @state sv1 = c(3) + c(4)*sv1(-1) + [var = exp(c(2))] @state sv2 = c(6) + c(7)*sv2(-1) + [var = exp(c(5))]

i can compute cusum test if i have the recursive residuals i think... but i dont know where i can find it in the toolbar of eviews....

i think it is in procs/make signal series (or state ?)/... and after i don't know what choose.

I put 2 screenshot for know what choose between the two blocks (state or signal series)... it is in one of this block that i can have recursive residuals ? and if yes which case ?

[img=http://img22.imageshack.us/img22/1515/sanstitreeqi.jpg]

[img=http://img35.imageshack.us/img35/7665/sanstitre1yya.jpg]

for summarize my question is where i can have recursive residuals for make stability test of my random coefficient (state equation)

thanks very much and sorry for my english and for my beginner question !

[Aktar]

can i have a response please :) ?