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- Fri Oct 21, 2016 4:17 pm
- Forum: Estimation
- Topic: Error in State Space estimation
- Replies: 0
- Views: 10855
Error in State Space estimation
Hello, I'm having trouble to estimate the first stage of Laubach and Williams' (2003) model. This model goes as follows: 100*(y - y_star) = a1 * (y(-1) - y_star(-1)) + a2 * (y(-2) - y_star(-2)) + e1 y_star = c1 + y_star(-1) + e2 Where y is the GDP and y_star is the (unobserved) potential GDP, e1 and...