@sm_statecov

[MOG]

Hi,

I am estimating using the sspace object in Eviews. My question regards the output @sm_statecov. It is my understanding that @sm_statecov is a matrix where each row is a @vech of smoothed state covariance matrix at each point in time (t).

However it seems that I get a negative variance for one of my states in one row of the object.

Code: Select all

Matrix statecov = sspace1.@sm_statecov Vector vector_row2 = @transpose(@Rowextract(statecov,2)) Matrix statecov_row2 = @unvech(vector_row2) Show statecov_row2

Then I get a negative variance for state number 2, which can be seen in the element (2,2) of statecov_row2. This only happens for row 2 in the @sm_statecov matrix.

statecov_row2.jpg (88.24 KiB) Viewed 2783 times

Have I misunderstood what the @sm_statecov output is? And if not, how can the smoothed state variance be negative? The estimation seems to pass through fine.

Thank you in advance!

[EViews Glenn]

Can you post your workfile with the estimated sspace equation?