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by breakceck
Wed Jun 01, 2016 2:27 am
Forum: Estimation
Topic: Laubach Williams (2003) State Space Model
Replies: 0
Views: 4644

Laubach Williams (2003) State Space Model

I want to implement the Laubach Williams (2003) model to EViews with some assumptions. The model is attached in a pdf. My Code: @ename e1 @ename e2 @ename e3 @evar var(e1) = exp(c(10)) @evar var(e2) = exp(c(11)) @evar var(e3) = exp(c(12)) @signal ygap=c(1)*ygap(-1) + c(2)*(r(-1)-rstar) + e1 @signal ...

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