State space model programming
Posted: Mon Dec 07, 2009 4:59 pm
Hi! I am using Eviews 6 and I need to estimate a model using the kalamn filter.
Consider a linear state space model as stated in equation 35.1 and 35.2 in the Background page on state space models of the user guide. In my model c_t, d_t, Z_t and T_t are constant and the state variables \alpha_t are unobserved. Moreover, \epsilon_t is a vector of zeros. In my model the vector of variables in \alpha_t are uncorrelated at all lead and lags. How do I code this assumption in Eview?
Thanks,
Francesca
Consider a linear state space model as stated in equation 35.1 and 35.2 in the Background page on state space models of the user guide. In my model c_t, d_t, Z_t and T_t are constant and the state variables \alpha_t are unobserved. Moreover, \epsilon_t is a vector of zeros. In my model the vector of variables in \alpha_t are uncorrelated at all lead and lags. How do I code this assumption in Eview?
Thanks,
Francesca
