Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Filip A. M. Van den Bossche
Title: Fitting State Space Models with EViews
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.

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DOI: 10.18637/jss.v041.i08

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.