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I run a dynamic factor model, which has a very strange result. I tried made state variables, all gives me zero value. I am wondering why, can anyone help me? thanks!!

no, i've allowed a sv5 = sv4(-1)
still not working. any other suggestion?

Hi, I am writing a code for a simple dynamic factor model. I am trying to extract mom gdp growth based on a factor called f1. For the moment, we can treat f1 as exogeneous. The equations I am trying to achieve is, y(q) = 1/3 * y(t) + 2/3 * y(t-1) + y(t-2) + 2/3 * y(t-3) + 1/3 * y(t-4) y(t) = c(1) * ...

Hi, I tried to use triangular approach to estimate Nairu. I constructed a state space model according to Gordon 1997. However I encountered a syntax error msg while estimating my model. Can someone help? Thanks. Here is my model below: @signal inflation_rate =c(1) + c(2) * inflation_rate(-1) + c(3) ...

I got an error message "Near Singular Matrix" Not so sure what's going on...Is it possible that it is due to my model specification? Highly appreciated if someone can point out for me... @evar var(e1) =1 @evar var(e2) = exp(c(8)) @evar var(e3) = exp(c(9)) @evar var(e4) = exp(c(10)) @evar c...

Hi Gareth, I have one more question. Is there any way I can extract my state value x(t)

I have daily, monthly data in my workfile. My model in state space form is as follow, x(t+1) = c(1) * x(t) = [var =1] y1(t) = c(2) * x(t) + [var = exp(c(3))] ------this is in daily basis y2(t) = c(4) * x(t) + y2(t-m) +[var = exp(c(5))] -----this is in monthly basis I want m to automatic pick up the ...