Fitting State Space Models with EViews

This paper demonstrates how state space models can be fitted in EViews. We first briefly introduce EViews as an econometric software package. Next we fit a local level model to the Nile data. We then show how a multivariate “latent risk” model can be developed, making use of the EViews programming e...

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Bibliographic Details
Published in:Journal of Statistical Software
Main Author: Filip A. M. Van den Bossche
Format: Article
Language:English
Published: Foundation for Open Access Statistics 2011-05-01
Subjects:
EViews
Kalman filter
state space methods
unobserved components
Online Access:http://www.jstatsoft.org/v41/i08/paper
Description
Summary:This paper demonstrates how state space models can be fitted in EViews. We first briefly introduce EViews as an econometric software package. Next we fit a local level model to the Nile data. We then show how a multivariate “latent risk” model can be developed, making use of the EViews programming environment. We conclude by summarizing the possibilities and limitations of the software package when it comes to state space modeling.
ISSN:1548-7660

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