State space model - Three factor model

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

EviewsUser00
Posts: 1
Joined: Tue Nov 03, 2015 9:46 am

State space model - Three factor model

Postby EviewsUser00 » Tue Nov 03, 2015 10:22 am

I am trying to estimate a state space model (three factor model) in Eviews 7 but I am having a hard time defining the state equations.
The signal equation is: i(t) = a + B*x(t) + n(t)
Where "i(t)" is a Qx1 vector of observed data; "a" is a Qx1 coefficient vector; "B" is Qx3 coefficient matrix; "x(t)" is a 3x1 state variable vector; "n(t)" is a 3x1 gaussian error vector.
The state equation is: x(t) = exp(K)*x(t-1) + z(t)
Where, "K" is a 3x3 lower triangular coefficient Matrix and "z(t)" is 3x1 error vector with variance equal to ∫Exp(Ks)*H*H'*exp(K')ds.
Where Exp(k) = ∑[(1/N!)*(K^N)]; and "H" is a diagonal matrix.
How can I define this transition equation in th Eviews?

**I have attached the equations from the original working paper.
Attachments
EA0(3).png
EA0(3).png (37.33 KiB) Viewed 1656 times

Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 2 guests