standard error of nonlinear combination of state variables

[kaner]

Hello all,

I would like to estimate standard error of nonlinear combination of estimated state variables from state space model.
I am using Eviews version6. Does anyone know how to do it? I cannot find it in the manual.

Thank you very much in advance for your help. :)

[EViews Glenn]

You'll have to save the state covariance matrices, then compute them yourself.

Further, I know that recent versions of the state space engine save the covariances using the @ date members like @pred_statecov, but I'm not sure that extends back to EViews 6.

[kaner]

Thank you very much, Glenn.

I tried @pred_statecov with Eviews6 and it did work!!
and I also tried @sm_statecov, too.

Thank you very much for your help.