Question regarding setting an State Space Object in Eviews
Posted: Thu Aug 30, 2018 6:04 pm
Dear Ladies and Gentlemen,
I am trying to estimate a beta herding model in eviews, based on the study of Hwang and Salmon (2004).
Basicaly my measurement and transition equations are as follows (see attached pdf):
log[Std(β_imt^b )]=µ_m+H_mt+υ_mt
H_mt=〖∅_m H〗_(mt-1)+η_mt
I am trying to implement these equations in eviews using following code:
@signal ret_log=c(1) +SV1+[var=exp(c(2))]
@state SV1=c(3)*SV1(-1)+[var=exp(c(4))]
where ret_log is my dependent variable, but there is now convergence.
Could you help me in this issue?
Kind regards,
Marcelo
I am trying to estimate a beta herding model in eviews, based on the study of Hwang and Salmon (2004).
Basicaly my measurement and transition equations are as follows (see attached pdf):
log[Std(β_imt^b )]=µ_m+H_mt+υ_mt
H_mt=〖∅_m H〗_(mt-1)+η_mt
I am trying to implement these equations in eviews using following code:
@signal ret_log=c(1) +SV1+[var=exp(c(2))]
@state SV1=c(3)*SV1(-1)+[var=exp(c(4))]
where ret_log is my dependent variable, but there is now convergence.
Could you help me in this issue?
Kind regards,
Marcelo