State Space Model (Kalman) - state constraints

[mikeeco]

Hi All

I am using a state space model with Kalman Filter to estimate unobservable states.

I need to restrain these states to sum to a certain amount or less.

eg. SV1 + SV2 + SV3 + SV4 <= 1.5

Any advice on how to add these constraints before the model is run, will be greatly appreciated.

I've posted an example of the model below

Thanks,

Mike


@signal msihf = sv1*A + sv2*B + sv3*C + sv4*D [var = exp(c(1))]

@state sv1 = sv1(-1)
@state sv2 = sv2(-1)
@state sv3 = sv3(-1)
@state sv4 = sv4(-1)

[EViews Glenn]

Unfortunately, I can't see how that can be done.