EViews.com

Hey all,

I have been trying to estimate a state space model using Eviews 7. After figuring out how to provide initial values for state variables and parameters, I managed to converge the model and the results look fine.

However, problem arises when I try to plot the smoothed estimates of the state variable. When I do view -> state views -> Graphs state series- > smoothed state estimates and compare it with the series I get using proc -> make state series -> smoothed state estimates, I get totally different results.

Shouldn't I be getting the same result using both the options? I cant figure out where I am going wrong.

Would appreciate some help

Thanks

Could you post your workfile?

And what's the date on your EViews 7 (Help/About EViews).

Hey Glenn,

Eviews v7.1 has a build date of Feb 10, 2011 on it.

Hey Gareth,

Please find attached the graphs generated using the two options. Note: In the first graph the final value (SV1) is below 14 whereas in the second graph it goes close to 16. I don't understand the discrepancy. They look similar in their behavior but the magnitude differs.

Before we go on, can you update to the latest version?

I am having the same problem. Using Eviews 9.

I'll have to see a workfile with the estimated sspace object as I"m not seeing this behavior in my examples.

I have attached the workfile.

Thanks. I'll let you know when I figure out what's going on.

It looks as though our code for producing the state space graphs gets confused when you have an irregular dated workfile with gaps in the dated workfile structure. I'm working on a fix.

For now, you can produce the graphs by saving the results using the Procs and then constructing the graphs manually. I know that this is a bit of a pain and apologize for the inconvenience.

We'll get a fix out as soon as we can. Apologies again.

Thank you Glenn.

A fix will appear in the next patch for both 9.5 and 10. Thanks for helping us locate the problem and sorry again for the inconvenience.