multivariate hp filter

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ndzama
Posts: 15
Joined: Tue Aug 10, 2021 8:33 am

multivariate hp filter

Postby ndzama » Tue Aug 10, 2021 9:09 am

Greetings,

I need help with estimating the output gap using multivariate HP Filter. I want to extend the simple univariate HP filter with output-inflation relationship. But I am not sure how to code this on Eviews.
Last edited by ndzama on Sat Dec 23, 2023 10:22 am, edited 1 time in total.

ndzama
Posts: 15
Joined: Tue Aug 10, 2021 8:33 am

Re: multivariate hp filter

Postby ndzama » Sat Aug 14, 2021 7:51 am

Greetings,

I have tried to figure out the program for multivariate HP Filter. When I try to run the code I get this error message:

APPEND@STATE is not a valid view for HP_MOD_SA in
"HP_MOD_SA.APPEND@STATE TREND11=C(1) +
TREND11(-1)+ETA_TREND11" on line 48.

I do not understand why the message says "Append is not valid"

kindly assist. I have attached the data used and the program.
Attachments
QGDP_HPF.xls
(57 KiB) Downloaded 137 times
mvr_hpf.prg
(3.27 KiB) Downloaded 155 times
Last edited by ndzama on Sat Dec 23, 2023 10:22 am, edited 1 time in total.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13308
Joined: Tue Sep 16, 2008 5:38 pm

Re: multivariate hp filter

Postby EViews Gareth » Mon Aug 16, 2021 8:51 am

You need a space.

Code: Select all

hp_mod_SA.append @state trend11=c(1) + trend11(-1)+eta_trend11
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ndzama
Posts: 15
Joined: Tue Aug 10, 2021 8:33 am

Re: multivariate hp filter

Postby ndzama » Mon Oct 04, 2021 12:26 pm

Dear Gareth,

I have a problem with this error when I try to run the multivariate HPF.

Invalid lags or leads for state variables in signal equation
"@SIGNAL INFL_SA = C(1) +INFLEX_SA+ C(2)*GAP+C(3)*GAP(-1)+EPS_INFL_SA" in "HP_MOD_SA.ML" on line 1. This equation is the Philips curve, the inflation is expressed as the function of expected inflation, current and lagged output gap.

Kindly assist.

I have attached the code and programme.
Attachments
QGDP_HPF.xls
(57 KiB) Downloaded 128 times
mvr_hpf.prg
(8.07 KiB) Downloaded 131 times


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