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- Thu Mar 16, 2023 6:36 am
- Forum: Estimation
- Topic: Error when estimating State Space
- Replies: 1
- Views: 10200
Error when estimating State Space
I am trying to estimate a state space model with 3 unobserved variables. The first equation states the equation: Break even rate = inflation expectations + inflation risk premium - liquidity premium. I have proxy variables for the unobserved variables: cpi_vol for inflation risk premium, survey5 for...