SSpace Forecasting with initial state
Posted: 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
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