SSpace Forecasting with initial state

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Sergio
Posts: 12
Joined: Tue May 19, 2015 1:32 am

SSpace Forecasting with initial state

Postby Sergio » Mon May 05, 2025 5:14 am

Hi there, I just want to flag that there could be a problem in forecasting sspace models.
Initialising the 1-step ahead forecast with a smoothed state from estimation Eviews yields the smoothed foreacast for the state variables. That should not be the case.
Let me know your toughts about it.
Thanks
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