Hi there,
I am quite new to eviews and I have been trying to estimate a model for my thesis. This model is a PHillips Curve model and I want to put restrictions on previous π_t sum to one.
For more clarification I am posting ym model here.#
π_t=1/4 ( π_(t-1)+π_(t-2)+π_(t-3)+π_(t-4) )+α(u-u*)t+ε_t
where π_t is annualized quarterly inflation rate
1/4 ( π_(t-1)+π_(t-2)+π_(t-3)+π_(t-4) is expected inflation ( expected inflation being an average og past four quarters )
I want my restriction to be that the coefficient of expected inflation to be sum to 1.
Can someone please help me how I command eviews to do this for me! Thank you
placing restrictions on coefficients sum to one
Moderators: EViews Gareth, EViews Moderator
-
- Non-normality and collinearity are NOT problems!
- Posts: 3775
- Joined: Wed Sep 17, 2008 2:25 pm
Re: placing restrictions on coefficients sum to one
Code: Select all
ls pi=c(1) + c(2)*pi(-1) + c(3)*pi(-2) + c(4)*pi(-3) + (1-c(2)-c(3)-c(4))*pi(-4)
Re: placing restrictions on coefficients sum to one
but how does that work?
Can I assumer the first set of pi-s to be a simple moving average model based on past four quarters? and then do the regression?
Can I assumer the first set of pi-s to be a simple moving average model based on past four quarters? and then do the regression?
Re: placing restrictions on coefficients sum to one
Yes and how can we obtain the coefficient and s.e. of the coefficient thats missing?
-
- Non-normality and collinearity are NOT problems!
- Posts: 3775
- Joined: Wed Sep 17, 2008 2:25 pm
Re: placing restrictions on coefficients sum to one
Do a Wald test on 1-c(2)-c(3)-c(4)=0
Who is online
Users browsing this forum: No registered users and 18 guests