HLW Rstar estimates

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HLW Rstar estimates

Postby paolo.zanghieri » Tue Apr 24, 2018 7:13 am

I am trying to replicate the Hoston, Laubach & Williams model. I followed the procedure outlined in the paper (WP version attached), initializing with the values they estimated (see .xls attached). I get sensible results for the autoregressive parameteres but much lower ones for those linking the output gap with the interest rate gap in the 1st equation and inflation with the lagged output gap in the 2nd equation, and above all, for the variance of the state variables. Moreover, the estimates are not stable even though the likelihood is maximized (i.e. if I reestimate the model I get very different estimates).
Any clue? Please find enclosed the workfile.
Thanks a lot.
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Re: HLW Rstar estimates

Postby Redvers-Jones » Thu Oct 25, 2018 2:13 am

I don't have an answer for you I'm afraid, though I thought/hope replying with bring this back to the attention of moderators again.
For what it is worth, and if you have not seen it already, this earlier post may hold some useful information regarding estimation method etc. http://forums.eviews.com/viewtopic.php?f=4&t=18318&p=58113&hilit=laubach+williams#p58113

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