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Help with Kalman Filter
Posted: Wed Jan 30, 2013 11:55 am
by jmagomez
Dear Fellows,
How can I find the best initial parameter of state space models?
Best Regards, Jmagomez.
Re: Help with Kalman Filter
Posted: Sun Feb 10, 2013 9:38 am
by trubador
If you are referring to initialization of unknown parameters (coefficients), then you can try other regression methods to determine the domain of values. State initialization is much more difficult and such an approach might not work well as expected. Moreover, EViews can properly handle state initialization most of the time and leaving it as is would be the reasonable thing to do unless you have enough a priori information on initial conditions.
Re: Help with Kalman Filter
Posted: Tue Mar 11, 2014 10:50 am
by jmagomez
Dear Fellows,
I made a model with Kalman Filter at Eviews 5, but I am not achieving the goal to obtain the residual series and analyze their properties.
Could you help me? I can send the file.
Best Regards, José.