Kalman filter and NAIRU
Posted: Thu Apr 12, 2018 8:15 am
Hello!
I am new in using EViews, so I need some help.
I would like to model NAIRU in the European Union countries with unemployment rate. I have quarterly rates from the beginning of 2000 until 2017Q3 for all the 28 EU countries.
I have already modelled NAIRUs with Hodrick-Prescott filter but now I would like to do it with Kalman filter as well.
I have read different posts and EViews user's guide as well but I still think I need some help.
From where should I start and is it enough if I use only unemployment rate? What is the logic behind state and signal equations? How should I write them down in EViews in order to model NAIRU with unemployment rate?
Also, one option for writing signal equation for modelling NAIRU would be that NAIRU is dependent on the previous value. But I have no clue how to make this state-space model with quarterly unemployment rate and if this information is enough for NAIRU.
I hope You can help me at least a little bit
I am new in using EViews, so I need some help.
I would like to model NAIRU in the European Union countries with unemployment rate. I have quarterly rates from the beginning of 2000 until 2017Q3 for all the 28 EU countries.
I have already modelled NAIRUs with Hodrick-Prescott filter but now I would like to do it with Kalman filter as well.
I have read different posts and EViews user's guide as well but I still think I need some help.
From where should I start and is it enough if I use only unemployment rate? What is the logic behind state and signal equations? How should I write them down in EViews in order to model NAIRU with unemployment rate?
Also, one option for writing signal equation for modelling NAIRU would be that NAIRU is dependent on the previous value. But I have no clue how to make this state-space model with quarterly unemployment rate and if this information is enough for NAIRU.
I hope You can help me at least a little bit