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.

Keywords

• EViews
• Kalman filter
• state space methods
• unobserved components