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I have estimated an SSpace model using a monthly sample from 2002:01 to 2015:09, but I do have signal data until 2015:11. I would like to estimate the filtered states until 2015:11 using the estimated coefficientes until 2015:09, but it seems that the proc "makestates" allows me to estimate the states only within the estimation sample, not beyond that.

Is makestates really limited to the estimation sample? Is there a way to estimate the filtered states beyond the estimation sample? Using "forecast" would give me only the predicted states, not the filtered ones.

I am using Eviews 8.1.

Thanks.

Use Proc/Make Filter... to make a new Kalman filter using the estimated values. Then "estimate" the new filter over the sample of interest. You'll then be able to do filtering, smoothing, etc. using that sample.

Worked perfectly.

Thanks!