Estimating non-observable variables

[flavio.samara]

Hello to everyone,

Is there any way to estimate a non-observable variable? In this case, the equation is a foward-looking Taylor rule and the non-observable variable is the equilibrium nominal interest rate (or neutral/natural rate).

Regards,
Flávio Samara

[trubador]

You can try to build a State Space Model and define the unobservable variable as a state. Please see manual for details of "state space object" in EViews...