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Running the model I get a Failure to Improve the likelihood with gradients that are decidedly far from zero. I wouldn't view this estimate as having converged. There are a lot of coefficients 15+2 variance parameters with only 208 observations. Perhaps other starting values might help, but it would...

Thanks Trubador, much appreciated, but I still get the same problem with that coding error corrected.

The standard error is constant, and very small.

Hi, I am having trouble getting error bands for a NAIRU estimated using the kalman smoother in the Eviews State Space. My code and data is attached below: pc bc nairu.prg Data: USNAIRU_Data.xls As you can see the output basically says the NAIRU is estimated with a very small constant error which can...

Hi all, Has anybody had experience with bootstrapping coefficient estimates and standard errors in the Eviews state space object? I am particualrly interested in bootstrapped standard errors for the time-varying NAIRU in a kalman filtered Phillips curve model. If anyone has code, or there are any ad...