Estimating NAIRU using state space model

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linluoau
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Joined: Fri Apr 26, 2019 4:06 am

Estimating NAIRU using state space model

Postby linluoau » Mon May 13, 2019 4:48 am

Hi
Can someone please help me on my estimation of nairu using state space model. The models are
sspace ssnairu
ssnairu.append cpi = c(11)*cpie+c(12)*cpi(-1)+c(13)*cpi(-2)+c(14)*cpi(-3)+c(15)*ulc(-1)+c(16)*((rue-nairu)/rue)+c(17)*d(rue(-1))/rue+c(18)*(pm(-1)-pm(-2))+[var=exp(c(110))]
ssnairu.append ulc = c(21)*cpie+c(22)*cpi(-1)+c(23)*cpi(-2)+c(24)*((rue-nairu)/rue)+c(25)*d(rue(-1))/rue+[var=exp(c(26))]
ssnairu.append @state nairu =nairu(-1) +[var=exp(c(31))]

There are two signal equations and and state variable is nairu. cpie is an expected cpi growth, ulc is unit of labour cost, rue is the unemployment rate and pm is the growth of import price. All variables are in growth.

The estimation results are

Sspace: SSNAIRU
Method: Maximum likelihood (BFGS / Marquardt steps)
Date: 05/13/19 Time: 21:39
Sample: 12/01/1989 12/01/2018
Included observations: 117
Valid observations: 111
Partial observations: 1
User prior mean: NAIRU0
Failure to improve likelihood (singular hessian) after 0 iterations
Coefficient covariance computed using outer product of gradients

Coefficient Std. Error z-Statistic Prob.

C(11) 0.216661 0.042620 5.083577 0.0000
C(12) 0.925172 0.086037 10.75317 0.0000
C(13) 0.110524 0.084801 1.303330 0.1925
C(14) -0.240083 0.072027 -3.333231 0.0009
C(15) -0.067907 0.034855 -1.948277 0.0514
C(16) -1.59E-07 0.132178 -1.20E-06 1.0000
C(17) -2.261127 3.620914 -0.624463 0.5323
C(18) -0.000528 0.017208 -0.030693 0.9755
C(21) 0.383517 0.199667 1.920782 0.0548
C(22) -0.733016 0.273746 -2.677719 0.0074
C(23) 1.085084 0.304524 3.563210 0.0004
C(24) -1.43E-06 0.299819 -4.78E-06 1.0000
C(25) 8.006524 9.274711 0.863264 0.3880
C(26) 1.419931 0.191594 7.411128 0.0000
C(31) -1.739324 1.09E+11 -1.60E-11 1.0000
C(110) -1.268491 0.099963 -12.68960 0.0000

Final State Root MSE z-Statistic Prob.

NAIRU 12.99414 2033.920 0.006389 0.9949

Log likelihood -322.6246 Akaike info criterion 6.101344
Parameters 16 Schwarz criterion 6.491907
Diffuse priors 1 Hannan-Quinn criter. 6.259784

Can someone help me find out what is wrong with my model?
many thanks in advance
Linden

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