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- Sun Mar 29, 2015 4:27 am
- Forum: Estimation
- Topic: estimate potential GDP with kalman filter
- Replies: 1
- Views: 3257
estimate potential GDP with kalman filter
Hello everybody, I want to estimate potential GDP with one variable kalman filter. so I have GDP quarterly data from 2003 to 2014. I use the following @signal GDP=sv1+sv2 @state sv1=sv1(-1)+[var=exp(c(2))] @state sv2=c(4)*sv2(-1)+[var=exp(c(3))] and i get one valueof sv1 (trend) and on value of sv2(...