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extract trend and cycle with kalman filter
Posted: Wed Oct 27, 2010 4:37 am
by ouhdan
Good day, someone can help me to write a programm that allow to me to extract trend end cycle for series with kalman filter, am using Eviews 5 ,Thanks.
my email
ouhdanyassine@gmail.com
Re: extract trend and cycle with kalman filter
Posted: Wed Oct 27, 2010 6:24 am
by trubador
I am pretty sure that you will find examples, if you search the forum...
Re: extract trend and cycle with kalman filter
Posted: Mon Nov 01, 2010 7:47 am
by ouhdan
i used the the folow specification
@signal expott = sv1+ sv2
@state sv1 = sv1(-1) + [var = exp(c(1))]
@state sv2 = c(3)*sv2(-1) + [var = exp(c(2))]
i dont have the output sv1 et sv2