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- Tue Dec 01, 2015 2:06 am
- Forum: Estimation
- Topic: MA error term in signal equation in STATE SPACE MODEL
- Replies: 0
- Views: 2424
MA error term in signal equation in STATE SPACE MODEL
Hello, everybody. I am try to build a state space model in eivews in the following form: output and inflation y = yt + yc / log gdp = potential gdp + gdp gap yt = yt(-1)+g(-1)+e1 / potential gdp = variable trend + lag potential + error g = g(-1) + e2 / variable trend follow this yc = c(1)*yc(-1) +c(...