What z-stats should be expected in State Space

[JamesK]

Hi all,

I estimate a state space model of a futures curve. It has many datapoints: thousands of daily data and eight measurement equations.

The model fits well, it seems reasonable for Eviews to report a high Log likelihood (30-40,000) given the big number of datapoints.

But the standard errors of the coefficients are excessively small, giving z-stats of 100 to 300. That seems wrong.

How does Eviews calculate standard errors? Is a correction required? What estimate for standard errors should be expected?

Thanks, James