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Hi, I'm having some trouble in estimating the Nelson Siegel model with the Kalman Filter according to the metodology presented in the paper "The macroeconomy and the yield curve: a dynamic latent factor approach". Can I share some ideas with someone who is familiar with this approach.

... linear equation: yit= αt+βllit+βkkit + ait (2) With ait is the total factor productivity (TFP) it is divided into three elements ait = ωi+ωit ... an error term in the autoregressive error term Global provides a dynamic relationship. The goal is to estimate βk, βl, αt and ρ with a large ...

... a paper of Diebold et al: "The macroeconomy and the yield curve: a dynamic latent factor approach (2006)" I used exactly same data as the paper used and I confirmed several ...

... Diebold et al., which is "The Macroeconomy and the yield curve: a dynamic latent factor approach" (2006). In the paper, the state-space system with the Kalman Filter Algorithm ...

... to replicate the paper:" The Macroeconomy and the yield curve: a dynamic latent factor approach", in which the yield curve is summarized using latent factors (level=sv1, ...

... (2006). The paper is called ' The macroeconomy and the yield curve: a dynamic latent factor approach ‘ , Journal of Econometrics 309-338. I’ve start setting up the signal equations, ...

Excellent! Thanks, startz, and I'll try your suggestions using separate constants.

Philipp

I don't see anything wrong. You might want to try allowing separate constants in each signal equation.

... the model (see attached workfile). When I examine the series for the dynamic factor, it basically looks like the model works. However, I noticed a lot of missing standard ...

@signal france = c(11)*sv1 + [var = exp(c(1))] @signal germany= c(12)*sv1 + [var=exp(c(2))] @signal denmark = c(13)*sv1 + [var=exp(c(3))] @state sv1 = c(21) + c(22)*sv1(-1) + c(23)*sv2 + [var=exp(c(24))] @state sv2 = sv1(-1) However, the error I get is: "Invalid lags or leads in state variable...

Hi, I was trying to estimate a dynamic factor model in EViews, but I seem to get stuck every time. Here's the idea: to keep things simple, I took ...

Hi, I have a question regarding add-in factors. Using the Macromod workfile in our Eviews manual as an example. Suppose ... 1999q4 lalatest.solve(d=s, o=g) And then I created a comparison scenario with a dynamic solution lalatest.scenario(n) "comparison1" lalatest.solve(d=d,o=g) ...

... variables using Kalman Filter/State Space (linear) model. “A Dynamic Factor Model of Four Coincident Economic Indicators: An Experimental Coincident Index: Based ...