Maximum likelihhod estimator sspace showing the result of Probability, z statistic, and standard error as NA
Posted: Tue Apr 16, 2024 2:31 pm
In the below code C(1) refers to mean of the real interest rate c(2) refers to Auto correlation obtained from correlogram C(3) and c(4) refer to SD/2.
I am using a real interest rate as a single latent variable to find natural rate. Whatever the data, either monthly, quarterly or early I get exactly the same result which is NA. Please guide me how to fix such problem.
@signal real_interest_rate=c(1)+s+[var=c(3)^2]
@state s=c(2)*s(-1)+[var=c(4)^2]
@param c(1)0.010207 c(2)0.849 c(3)0.019285 c(4)0.019285
Sspace: UNTITLED
Method: Maximum likelihood (BFGS / Marquardt steps)
Date: 04/16/24 Time: 16:05
Sample: 1977 2022
Included observations: 46
Convergence achieved after 29 iterations
Coefficient covariance computed using outer product of gradients
WARNING: Singular covariance - coefficients are not unique
Coefficient Std. Error z-Statistic Prob.
C(1) 0.010080 NA NA NA
C(2) 0.296205 NA NA NA
C(3) 2.80E-13 NA NA NA
C(4) 0.032614 NA N A NA
Final State Root MSE z-Statistic Prob.
S -0.004415 0.032614 -0.135367 0.8923
Log likelihood 92.14142 Akaike info criterion -3.832236
Parameters 4 Schwarz criterion -3.673223
Diffuse priors 0 Hannan-Quinn criter. -3.772669
I am using a real interest rate as a single latent variable to find natural rate. Whatever the data, either monthly, quarterly or early I get exactly the same result which is NA. Please guide me how to fix such problem.
@signal real_interest_rate=c(1)+s+[var=c(3)^2]
@state s=c(2)*s(-1)+[var=c(4)^2]
@param c(1)0.010207 c(2)0.849 c(3)0.019285 c(4)0.019285
Sspace: UNTITLED
Method: Maximum likelihood (BFGS / Marquardt steps)
Date: 04/16/24 Time: 16:05
Sample: 1977 2022
Included observations: 46
Convergence achieved after 29 iterations
Coefficient covariance computed using outer product of gradients
WARNING: Singular covariance - coefficients are not unique
Coefficient Std. Error z-Statistic Prob.
C(1) 0.010080 NA NA NA
C(2) 0.296205 NA NA NA
C(3) 2.80E-13 NA NA NA
C(4) 0.032614 NA N A NA
Final State Root MSE z-Statistic Prob.
S -0.004415 0.032614 -0.135367 0.8923
Log likelihood 92.14142 Akaike info criterion -3.832236
Parameters 4 Schwarz criterion -3.673223
Diffuse priors 0 Hannan-Quinn criter. -3.772669