Fitting State Space Models with EViews

Filip A. M. Van den Bossche

Journal of Statistical Software, 2011, vol. 041, issue i08

Abstract: 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.

Date: 2011-05-12
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:041:i08

DOI: 10.18637/jss.v041.i08

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