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- Thu Jun 27, 2019 8:33 am
- Forum: Econometric Discussions
- Topic: KALMAN FILTER (SSPACE) smoothed series explodes
- Replies: 0
- Views: 4489
KALMAN FILTER (SSPACE) smoothed series explodes
Hello everyone Long time lurker, first time poster, thanks in advance for your help I am trying to estimate output gaps through a Kalman Filter. The model is fairly simple, it includes a Philips curve signal equation (with some controls), another signal equation for the output gap, state equations f...
