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Hi all, i have a question regarding getting time-varying adjustment terms for a VECM by writing out the model in state space form. So I am trying to estimate both the long-run and the short-term relationship in the same time. This is what i put in my ss object Variables: A & B @signal A(-1) = c(...

I would like to test the validity of the permanent income hypothesis in a small open economy using panel data on income deciles. I have real consumption and real income data on households divided in income deciles. The deciles are my cross-sections. I use interaction terms in the spirit of Shea 1995...