Urgent - state space model
Posted: Sun Jul 12, 2009 11:56 pm
Hi,
I am trying the State Space Kalman Filter in Eviews to fit a single series.
I encounter a problem that when the series is fitted in a same model but different workfile(the data, equations and setting are exactly the same except I do in different workfile) the results might be very different. What is the reason behind? Is it something to do with the optimisation algolrithms used in Eviews in solving the SS model?
Also, sometimes i get the warning "WARNING: Singular covariance - coefficients are not unique" and the std.error, z-statistics & Prob show "NA". The model below is one of the example that I faced this problem. Can anyone tell me what is the problem?
@signal rklci = c(1)*sv1 + sv2
@state sv1 = c(2)*sv1(-1) + (1-c(2))*sv2(-1) + [var = exp(c(3))]
@state sv2 = c(4)*sv2(-1) + [var = exp(c(5))]
Appreaciate the reply from any helpful person..
I am trying the State Space Kalman Filter in Eviews to fit a single series.
I encounter a problem that when the series is fitted in a same model but different workfile(the data, equations and setting are exactly the same except I do in different workfile) the results might be very different. What is the reason behind? Is it something to do with the optimisation algolrithms used in Eviews in solving the SS model?
Also, sometimes i get the warning "WARNING: Singular covariance - coefficients are not unique" and the std.error, z-statistics & Prob show "NA". The model below is one of the example that I faced this problem. Can anyone tell me what is the problem?
@signal rklci = c(1)*sv1 + sv2
@state sv1 = c(2)*sv1(-1) + (1-c(2))*sv2(-1) + [var = exp(c(3))]
@state sv2 = c(4)*sv2(-1) + [var = exp(c(5))]
Appreaciate the reply from any helpful person..