Kalman state variables as observed variables
Posted: Tue May 12, 2015 7:29 pm
On eviews, can we use "non-hidden" observed variables as state variables?
i.e. if we assume that household consumption is influenced by income and inflation, could we use income and inflation data as state variables?
I tried Kalman filter with sv1+sv2(i.e. random variables) and income+inflation, and found that the estimation results were the same.
@ename resid1
@ename resid2
@ename resid3
@evar var(resid1) = exp(c(1))
@evar var(resid2) = exp(c(2))
@evar var(resid3) = exp(c(3))
@signal consumption=income+inflation+resid1
@state income=income(-1)+resid2
@state inflation=inflation(-1)+resid3
Additionally, where can I check the spreadsheet for the Kalman filter outcomes?
Thanks much.
i.e. if we assume that household consumption is influenced by income and inflation, could we use income and inflation data as state variables?
I tried Kalman filter with sv1+sv2(i.e. random variables) and income+inflation, and found that the estimation results were the same.
@ename resid1
@ename resid2
@ename resid3
@evar var(resid1) = exp(c(1))
@evar var(resid2) = exp(c(2))
@evar var(resid3) = exp(c(3))
@signal consumption=income+inflation+resid1
@state income=income(-1)+resid2
@state inflation=inflation(-1)+resid3
Additionally, where can I check the spreadsheet for the Kalman filter outcomes?
Thanks much.