482—Appendix B. Command Reference

Declare state space object.

Syntax

Command: sspace sspace_name

Follow the sspace keyword with a name to be given the sspace object.

Examples

sspace stsp1

declares a sspace object named STSP1.

sspace tvp

tvp.append cs = c(1) + sv1*inc

tvp.append @state sv1 = sv1(-1) + [var=c(2)]

tvp.ml

declares a sspace object named TVP, specifies a time varying coefficient model, and estimates the model by maximum likelihood.

Cross-references

See Chapter 25, “State Space Models and the Kalman Filter”, on page 751 of the User’s Guide for a discussion of state space models. The sspace object is documented in greater detail beginning on page 179.

append (p. 205) may be used to add lines to an existing sspace object. See also ml (p. 369) for estimation of state space models.

Basic statistics by classification.

The statby view displays descriptive statistics for the elements of a series classified into categories by one or more series.

Syntax

484—Appendix B. Command Reference

Options to control binning

Other options

Examples

wage.statby(max,min) sex race

displays the mean, standard deviation, max, and min of the series WAGE by (possibly binned) values of SEX and RACE.

Cross-references

See “By-Group Statistics” on page 579 for functions to compute by-group statistics. See also “Stats by Classification” on page 310, and “Descriptive Statistics” on page 377 of the

User’s Guide.

See also hist (p. 322), boxplotby (p. 225) and linkto (p. 339).

Display graphs of a set of state series computed using the Kalman filter.

Syntax

statefinal—485

Options

t=output_type Defines output type:“pred” (one-step ahead signal pre- (default=“pred”) dictions), “predse” (RMSE of the one-step ahead signal predictions), “resid” (error in one-step ahead signal predictions), “residse” (RMSE of the one-step ahead signal prediction; same as “predse”), “stdresid” (standardized

one-step ahead prediction residual), “smooth” (smoothed signals), “smoothse” (RMSE of the smoothed signals), “disturb” (estimate of the disturbances), “disturbse” (RMSE of the estimate of the disturbances), “stddisturb” (standardized estimate of the disturbances).

Other options

Examples

ss1.stategraphs(t=filt)

displays a graph view containing the filtered state values.

Cross-references

See Chapter 25, “State Space Models and the Kalman Filter”, on page 751 of the User’s Guide for a discussion of state space models.

See also signalgraphs (p. 471), makesignals (p. 361) and makestates (p. 362).

Display final state values.

Show the one-step ahead state predictions or the state prediction covariance matrix at the final values (T + 1 T) , where T is the last observation in the estimation sample. By default, EViews shows the state predictions.

Syntax