Kalman filter - time varying coefficient
Posted: Tue Apr 10, 2012 11:19 am
Hi,
I'm new to Eviews. I am trying to use Kalman filter to estimate time varying coefficient alpha and beta for CAPM.
My model is as follows
@signal Ri = sv1 + sv2*Rm + [var = exp(c(1))]
@state sv1 = sv1(-1) + [var = exp(c(2))]
@state sv2 = sv2(-1) + [var = exp(c(3))]
I want to view the whole list of estimated sv1 and sv2 against time. So far, I have only found a graphic representation of these under View->State views->Graph state series... Can anyone tell me where I could find all the values are used to plot these graphs?
Many thanks!
I'm new to Eviews. I am trying to use Kalman filter to estimate time varying coefficient alpha and beta for CAPM.
My model is as follows
@signal Ri = sv1 + sv2*Rm + [var = exp(c(1))]
@state sv1 = sv1(-1) + [var = exp(c(2))]
@state sv2 = sv2(-1) + [var = exp(c(3))]
I want to view the whole list of estimated sv1 and sv2 against time. So far, I have only found a graphic representation of these under View->State views->Graph state series... Can anyone tell me where I could find all the values are used to plot these graphs?
Many thanks!