Kalman Filter estimation

[king_luca]

Hi everybody,

I'm a new user of Eviews (I bought it this morning)... I need to estimate time varying betas for a 7 factors model. I defined the state space model in Eviews, using the Auto-Specification. However when I want to estimate the model an error message appears specifying that my dependent variable "is not defined"...

I used Matlab before but I need to use Eviews now and I am a bit lost...

Could anyone help me with that ?

Thank you in advance.

BR

[Aqua]

Hi,
Could you show us the code?

[king_luca]

My code in Sspace is the following :

@signal CONV__ARB_ = sv1*BONDS + sv2*CMDTY + sv3*CREDIT + sv4*EMM_B + sv5*EMM_E + sv6*S_P + sv7*USD + [var = exp(c(1))]

@state sv1 = sv1(-1) + [var = exp(c(2))]
@state sv2 = sv2(-1) + [var = exp(c(3))]
@state sv3 = sv3(-1) + [var = exp(c(4))]
@state sv4 = sv4(-1) + [var = exp(c(5))]
@state sv5 = sv5(-1) + [var = exp(c(6))]
@state sv6 = sv6(-1) + [var = exp(c(7))]
@state sv7 = sv7(-1) + [var = exp(c(8))]

when I want to estimate the parameters I get the previous error, specifying that CONV__ARB_ is not defined...

Did I do somethng wrong when I imported the data ?

Thank you for your answer

[EViews Gareth]

Silly question perhaps, but is there a series in your workfile called CONV__ARB_ ?

[king_luca]

yes there is... it's a vector with 120 observations...

[king_luca]

but do I need to store all my excel sheets in a specific folder ?

[Aqua]

Make sure you do not press twice the "_" in defining the variable.
Check this and tell us!
A.

[king_luca]

still the same error...

[Aqua]

Could you post the workfile?

[EViews Gareth]

It won't work if it is a VECTOR object. It has to be a SERIES.

[king_luca]

I have a workfile named "kalman returns" in which I have several return data and a workfile named "kalman factors" in which I have the 7 factors data :

[startz]

I have a workfile named "kalman returns" in which I have several return data and a workfile named "kalman factors" in which I have the 7 factors data :

Copy all the series from one workfile and paste into the other so that everything's in one place. Then try again.

[king_luca]

I think it works now... but I have an other error message : missing value found in state variance matrix... I don't have this value, I'd like to estimate it with maximum likelihood...

Thank you very much for your help

[Aqua]

Give starting value to variances by adding something like
c(1)= your value
c(2)=your value
...

Hope it helps,
A.

[king_luca]

Thank you.

But do I need to specify that I want to estimate c(1),...,c(8) ? If yes, could you tell me where ?

Thank you again