Initial Parameter Values in Sspace

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.

Moderators: EViews Gareth, EViews Moderator

jack_c
Posts: 1
Joined: Mon Jul 04, 2016 9:04 pm

Initial Parameter Values in Sspace

Postby jack_c » Mon Jul 04, 2016 9:17 pm

Hi all,

I'm trying to estimate a state-space model in which a want to set the initial value of the coefficients. I'm having some problems though because I want the value of the coefficients to be based on the value in a vector.

For instance if I put the following line in the state-space spec:

param c(1) 2

it works fine

However if I try using the value from the vector coeff_x, e.g.

param c(1) coeff_x(1)

I get an error message.
I've also tried putting the vector's value into a scalar and then using the scalar in the param line, but this also led to an error message.
Any help would be greatly appreciated.

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

Re: Initial Parameter Values in Sspace

Postby EViews Glenn » Tue Jul 05, 2016 10:22 am

Don't use the param statement, just fill the coefficient vector that is referenced in the sspace specification with the value you want to use. So before you estimate just set C(1)=Coeff(1)


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 2 guests