common component in State Space Model
Posted: Wed Jun 02, 2010 4:36 pm
Dear Glenn,
Please help me write code for the following state-space representation in Eviews6.
First, the measurement equation:
y=z1*a+b
p=z2*a+c
where the coefficients in b and c are unity; and a,b,c are three state variables.
Now, the transition/state equation:
a=x1
b=x2
c=x3
In matrix,
a = [1 0 0] x1
b= [0 1 0] x2
c =[0 0 1] x3
Please note that there is no lag term in the state variables.
Third, the error structure for the state variables:
E[ee']=[1 0 0]
[0 q22 0]
[0 0 q33]
I have found Eviews manual very helpful in several occasions except this one which even after re-reading seems hard to comprehend. I am not sure how to write the signal and state equations appropriately for above model. Your help would be highly appreciated.
Thank you.
anjan
Please help me write code for the following state-space representation in Eviews6.
First, the measurement equation:
y=z1*a+b
p=z2*a+c
where the coefficients in b and c are unity; and a,b,c are three state variables.
Now, the transition/state equation:
a=x1
b=x2
c=x3
In matrix,
a = [1 0 0] x1
b= [0 1 0] x2
c =[0 0 1] x3
Please note that there is no lag term in the state variables.
Third, the error structure for the state variables:
E[ee']=[1 0 0]
[0 q22 0]
[0 0 q33]
I have found Eviews manual very helpful in several occasions except this one which even after re-reading seems hard to comprehend. I am not sure how to write the signal and state equations appropriately for above model. Your help would be highly appreciated.
Thank you.
anjan