Kalman Filter: Asymmetric covariance matrix
Posted: Mon Jul 29, 2019 10:46 am
Hi I am estimating a State Space model that has two state variables x and y, with errors res_x and res_y. res_x variance is not affected by res_y, but the variance of res_y is affected by res_x. However, i am not sure how to estimate such a structure in Eviews. What I am looking is to specify the model such as:
I know the latter is wrong as the cov(x,y) command is symmetric, so I need to know if there is any way to compute such assymetric covariance matrix.
Code: Select all
@ename res_x
@ename res_y
@evar var(res_x) = exp(c(1))
@evar var(res_y) = exp(c(2))
@evar cov(res_x, res_y) = 0
@evar cov(res_y, res_x) = c(3)