Kalman Filter using Eviews?
Posted: Mon Jun 30, 2014 5:34 am
Dear Gareth,
I have a doubt: How do I do to use Kalman Filter at Eviews? I have a multi dinamic regression model as follows:
ly c lm ls
Could you tell me the steps? Signal and state equations also? Could we use Kalman Filter at VEC Models? Or only at simple models?
All my data is until May 2014 and I wanna forecast until December 2031. Is it possible?
Thanks a lot. And I can send the file.
Best Regards, José.
I have a doubt: How do I do to use Kalman Filter at Eviews? I have a multi dinamic regression model as follows:
ly c lm ls
Could you tell me the steps? Signal and state equations also? Could we use Kalman Filter at VEC Models? Or only at simple models?
All my data is until May 2014 and I wanna forecast until December 2031. Is it possible?
Thanks a lot. And I can send the file.
Best Regards, José.