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Dear all,

I constructed a state-space model to estimate the state variable. The model program works quite well at first. Picture 1 is the outcome I get from the estimation, the last observation of the model is June of this year. However, after I update the data to the July of this year, the outcome changed so dramatically, just as I showed in picture 2.

My model is a mix-frequency state-space model, which consists of four monthly variables and one quarterly variable. All of these variables are seasonal-adjusted then changed into their growth rates. I compare the seasonally adjusted data for every variable with and without the new observation. None of them show big differences. Therefore, it may not be the problem of the new observation or the seasonal adjustment.

So, I'd like to know why, and how to fix it. Thanks!

It is impossible to answer this question with the information provided. A workfile with estimated objects would help.

It is impossible to answer this question with the information provided. A workfile with estimated objects would help.

Hi Glenn,
Thanks for the reply.
I post my workfile here.

There're two sheets in the workfile, one of them contains four monthly data and the other contains one quarterly data. The four monthly data are named "elec", "pt", "rail" and "freight" respectively. The quarterly data is named "emp". The suffix "X_a" means the accumulative value of the variable X; the suffix "X_int" means the interpolation value of the variable X; the suffix "X_sa" means the seasonal-adjusted value of the variable X. At last, "Xg" means the y-o-y growth rate of the variable X. The state space model is constructed with variables "freightg", "railg", "ptg", "elecg" and "empg".

The model estimation outputs are listed in the monthly data sheet.

The estimated sspace object is singular at the final values. I didn't delve too much into the specification, I don't think that your EMPG equation temporal disaggregation is working well.