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Fitting State Space Models with EViews

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  • Van den Bossche, Filip A. M.

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.

Suggested Citation

  • Van den Bossche, Filip A. M., 2011. "Fitting State Space Models with EViews," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i08).
    • Handle: RePEc:jss:jstsof:v:041:i08
    DOI: http://hdl.handle.net/10.18637/jss.v041.i08
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    1. Commandeur, Jacques J.F. & Koopman, Siem Jan, 2007. "An Introduction to State Space Time Series Analysis," OUP Catalogue, Oxford University Press, number 9780199228874.
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    Cited by:

    1. Veenstra, Joost, 2015. "Output growth in German manufacturing, 1907–1936. A reinterpretation of time-series evidence," Explorations in Economic History, Elsevier, vol. 57(C), pages 38-49.
    2. Nakmai, Siwat, 2016. "Foreign exchange risk premia: from traditional to state-space analyses," MPRA Paper 71237, University Library of Munich, Germany.
    3. Ziliotto, Arianna & Serati, Massimiliano, 2015. "The semi-strong efficiency debate: In search of a new testing framework," Research in International Business and Finance, Elsevier, vol. 34(C), pages 412-438.
    4. Hanxiong Zhang & Robert Hudson & Hugh Metcalf & Viktor Manahov, 2017. "Investigation of institutional changes in the UK housing market using structural break tests and time-varying parameter models," Empirical Economics, Springer, vol. 53(2), pages 617-640, September.
    5. Diego J Pedregal, 2019. "Time series analysis and forecasting with ECOTOOL," PLOS ONE, Public Library of Science, vol. 14(10), pages 1-23, October.
    6. Martin Solberger & Erik Spånberg, 2020. "Estimating a Dynamic Factor Model in EViews Using the Kalman Filter and Smoother," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 875-900, March.
    7. Hettihewa, Samanthala & Saha, Shrabani & Zhang, Hanxiong, 2018. "Does an aging population influence stock markets? Evidence from New Zealand," Economic Modelling, Elsevier, vol. 75(C), pages 142-158.

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