EViews.com

Hi everyone. Please help me to extract the trend of a series using kalman filter. I already have the estimation output but I need the trend of the series. What will I do? I just know the point-and-click feature of the Eviews so can you give me instructions on what to do. Thank you.

By the way, I already tried searching the forum with the words "Kalman Filter" and I saw all the post about it but none really answered this question. So yeah. I badly need it. Thank you.

Hi,

It depends if you want the smoothed trend or the filtered trend (or the other options that EViews provides) , but you could program it like this for one state variable, you must provide more output names if you have more state variables:

sv1.makestate(t=pred) name_1
sv1.makestate(t=predse) name_2
sv1.makestate(t=filt) name_3
sv1.makestate(t=filtse) name_4
sv1.makestate(t=smooth) name_5
sv1.makestate(t=smoothse) name_6
(sv1 is the name of the state space object )

And for the signal variables:

ss1.makesignals(t=smooth)

Regards.