kalman filter

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

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lisa
Posts: 45
Joined: Thu Jul 28, 2011 3:27 pm

kalman filter

Postby lisa » Fri Aug 26, 2011 3:42 am

hello,
when we estimate a model whith kalman filter, we write for example
@signal x=sv1*x(-1)+sv2*x(-2)+[var=exp(c(1))]
what does mean c(1) and how can I obtain the variance using c(1)
thanks
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startz
Non-normality and collinearity are NOT problems!
Posts: 3798
Joined: Wed Sep 17, 2008 2:25 pm

Re: kalman filter

Postby startz » Fri Aug 26, 2011 5:59 am

This is a trick to ensure a positive variance. The variance is e^c(1).
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lisa
Posts: 45
Joined: Thu Jul 28, 2011 3:27 pm

Re: kalman filter

Postby lisa » Sun Aug 28, 2011 12:30 am

thank you startz :)
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