Journal of Statistical Software

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Sample volume 1
Title Fitting State Space Models with EViews
Author Bossche Filip
This paper demonstrates how state space models can be tted in EViews. We rst
briefly introduce EViews as an econometric software package. Next we t 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 sum-
marizing the possibilities and limitations of the software package when it comes to state
space modeling.
Keywords EViews, Kalman lter, state space methods, unobserved components.
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