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I used to specify the variances. When i don't, I have the same error than you.
Put it just before the specification of your state space, like this

c(1)=your value,
c(2)= your value,
.
.
.
Here, define your state space.

I'm sorry but I still get an error message saying that "coefficients not allowed for signal dependent variable in equation "c(1) = 0.2".

Here is my code to be clear :

c(1) = 0.2
c(2) = 0.2
c(3) = 0.2
c(4) = 0.2
c(5) = 0.2
c(6) = 0.2
c(7) = 0.2
c(8) = 0.2


@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))]

You can't include the c= parts inside the state space specification. Do that outside of the statespace prior to estimation.

i.e. in the command window (the white bit at the top of EViews), type: Then open up your State space object and hit Estimate.

I'm really sorry but it doesn't work...

1) I type c=0.2 in the command window and hit "enter" to compute it
2) I specify my Sspace using "auto-specification", with a diagonal matrix for signal variance and state variance --> gives me the same code as before
3) I hit "estimate" and I get : "Missing valu found in signal transition matrix"

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

No, EViews understands that. Something else mysterious is going on.
You might post your workfile, including the system object that you're trying to estimate.

Thank you... IHere is my workfile with the code :

@signal CON_AR = sv1*BONDS + sv2*CMDTY + sv3*CREDITS + sv4*EMMB + sv5*EMME + sv6*SP + 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))]

My goal would be to get the 7 coefficients (sv1,...,sv7) for each of my observations and an estimation of the unknown paramters c(1),...,c(8).

If you can help me it would be great! Thank you

Are you running on the most recent update of EViews? On my system the estimate works fine, except that you end up with a singular variance. My guess is that is a data issue. If you run
you'll see that SP and USD don't much matter.

no it's not the most recent update... I'll update it and try again.

I'm sorry, I'm really new in Eviews but is "ls" a least square regression ?

It might be a data issue but I have to use these data anyway...

Thank you for your precious help.

I hope it'll work...

Yes, ls means least squares regression.

You might find the free chapters at http://www.eviews.com/illustrated/illustrated.htmlhelpful in jumpstarting your EViews trip.

The C(1) etc are the parameters in the variances. If you look at your equations you'll see where they enter.

And not to ask a silly question, but you do realize that you are estimating with random walk coefficients using CON_AR data that appear to be stationary?

Glenn,

Not having thought about this carefully, is there anything wrong with using a random walk for time-varying coefficients of a stationary model? I thought this was pretty standard.