I can't find this topic being mentioned and I am stuck with it..
Basically I want to introduce a contemporaneous correlation in state equation and can't find a way to circumnavigate the rule stating that all the dependent variables in state equations need to be lagged..
so my code which aims to estimate an output gap out of inflation and gdp data reading:
Code: Select all
sspace gap
genr infla = log(cpi) - log(cpi(-4))
genr infla_lead = infla(1)
genr l_gdp = log(gdp)
genr gr = l_gdp - l_gdp(-4)
scalar crec = 1+@mean(gr)
scalar un = @mean(u)
gap.append @signal l_gdp = pot + gap
gap.append @state growth = c(2)*crec + (1-c(2))*growth(-1) + [var=exp(c(3))]
gap.append @state pot = pot(-1) + growth+ [var=exp(c(1))]
gap.append @state gap = c(4)*gap(-1) + [var=exp(c(5))]
ap.append @signal infla = c(6)*infla_lead + (1-c(6))*infla(-1) + c(7)*gap + [var=exp(c(8))]
gets stuck at the line
gap.append @state pot = pot(-1) + growth+ [var=exp(c(1))]
since growth is not lagged (and by definition it should not be)
so my question is on how to go about this problem?