Steady-state Kalman Filter State Covariance
Posted: Fri Sep 29, 2023 1:37 am
Hi,
I am working with state space models and would like to calculate the steady-state state covariance matrix.
Is there an easy way to do this in Eviews?
I see a reference to solving the Riccati equation in an old Eviews 6 manual, so thought there might be a readily available solution.
Many thanks,
-Alex
I am working with state space models and would like to calculate the steady-state state covariance matrix.
Is there an easy way to do this in Eviews?
I see a reference to solving the Riccati equation in an old Eviews 6 manual, so thought there might be a readily available solution.
Many thanks,
-Alex