Impulse Response Function of a State Space Model
Posted: Sun Dec 30, 2018 2:45 am
Dear all,
I have estimated a state space model similar to: Diebold, Rudebusch, Aruoba (2006): "The macroeconomy and the yield curve: a
dynamic latent factor approach". (You can find the model specification attached)
I would like to compute the Impulse Response Functions, however I have only found an integrated possibility for a VAR, but not for a state space model. Has anyone an idea how I can do this with Eviews ?
Thanks in advanced.
I have estimated a state space model similar to: Diebold, Rudebusch, Aruoba (2006): "The macroeconomy and the yield curve: a
dynamic latent factor approach". (You can find the model specification attached)
I would like to compute the Impulse Response Functions, however I have only found an integrated possibility for a VAR, but not for a state space model. Has anyone an idea how I can do this with Eviews ?
Thanks in advanced.