STR Augmented Taylor rule

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Chifae Oualae
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Joined: Thu Jun 03, 2021 10:55 am

STR Augmented Taylor rule

Postby Chifae Oualae » Fri Jun 04, 2021 7:59 am

Hello. I want to estimate a nonlinear model (Smouth Transition regression STR) to model an augmented nonlinear Taylor rule.
The problem is that in the theoretical model, a coefficient called "RHo" must be attached to the variable "i (-1)" and another called (1-Rho) must be attached to the variable "r" .
How can I make this happen in the Eviews software? Knowing that I do not have the hand to write the coefficients (C (1), C (2), C (3), ...) as in the case of OLS. In STR, it is allowed to write just the variable to be explained followed by the explanatory variables and to add @alt (var) to show that the variables in parentheses are just in the nonlinear part. If we let the software calculate the coefficients it will give a coefficient attached to "r" which is different from (1-Rho) which is not compatible with the theory.

variable to explain: i
explanatory variable: i (-1), r, Inf_gap, Y and Y * Q

Thank you. I am really stuck in work.

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