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hi guys, How do you calculate minimum observation needed to undertake arellano bond GMM estimation (two step). The reason why i ask is because i am receiving message "number of instruments greater than number of observations" when i try to estimate using dynamic panel wizard. I have attach...

Thanks Trubador..... Yes indeed mci & enf are monetary conditions index and inflation....what i was trying to do is to include IS equation and phillip curve equations in the potential growth model to have a complete model.....Hence the specification i had inthe workfile ...Will definately revisi...

Hi trubador, Please see below the results and the program file. I have used program that uses 1000 random values to initalize variance of the state and signal equations. Trying to find the best solution i get the final result mentioned below. The issue is the result is way different from what i woul...

Sure Jamie .. Will definately do..

Thanks a lot... Will try to tighten up the model ...try various state varaince values ...Add inflation, capacity utilisation and monetary conditions index to get a true multivariate potential growth model...And get back for your final comments .. Thks a lot..this blog is a big help!!!!

Guys I know that u reserve right to response and rightly so....but will greatly appreciate a reply here...seems to be stuck... initial values are impacting the results ..so Its crucial i have proper values....

Please see if you can accommodate...

Thanks a million,
Sunny

Sorry i understand i can initalise using other value choosing randomily , as you did earlier.. but i wanted to understand what should be ideal initalization process using ols .. hence have gone at length in my earlier post... thanks for your help...

Hi, I initialized the value using the OLS equations.. I am not sure if i done it correctly ( as i am getting Singular covariance - coefficients are not unique on running the model ) .. I looked around and could not find a post on which value to initialize .. hence thought of writing the post...workf...

many thanks for your help ...Wil try to make sense what you done..

Best,
Toshi

Trying to follow clark (1987) and decompose gdp into potential and cyclical side. @signal log_y_sa=pot+cyc @state pot=pot (-1) + g (-1) @state g = g(-1) + [var=exp(c(2))] @state cyc = c(3)*cyc (-1) + c(4)*sv1(-1)+ [var=exp(c(5))] @state sv1=sv1(-1) param c(3) .72 c(4) -0.03 c(5) 0.011 For initial va...

I am trying to see work Phillip curve using state space modelling .. the model seems to work fine when i do not include c(2)* inf (-1)... but i want to include it .... i do not se any reason why it should be included...I have attached a wok sheet for your reference.. please help me in this regard.. ...

Hi, Just a quick question...I was trying to initiate prior to my AR(2) state space model by @mprior...Eviews was refusing to accept it .. Also I was trying to run the loop for the rolling regression .. again e-views refused to accept it... Is it something to do with he fact that i use student versio...