state space help

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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ecofin
Posts: 182
Joined: Fri May 10, 2013 11:24 am

state space help

Postby ecofin » Wed Nov 13, 2013 11:58 am

the model ARIMA(p,d,q) is easy to write it in state space object in EViews when I use auto specification. for example ARMA(2,1) with serie 'y'
@signal y = c(1) + sv1 + c(4)*sv2
@state sv1 = c(2)*sv1(-1) + c(3)*sv2(-1) + [var = exp(c(5))]
@state sv2 = sv1(-1)
but when there is a seasonal model SARIMA(p,d,q)*(P,D,Q)s (s=4 for quarterly data, s=12 for monthly data) you must manually write the model in state space object in EViews, i don't know how to start to write signal and the state sv in SARIMA model.
So I would write these models in state space form when (s=12 monthly) for example the serie is 'y'
SARIMA(2,1,2)*(2,2,2)s=12
SARIMA(2,1,2)*(2,1,1)s=12
SARIMA(2,1,2)*(1,0,1)s=12
SARIMA(2,1,2)*(1,0,2)s=12
this will help me to compare with OLS method in EViews.

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