Providing a range of values to coef in a state-space model

[maragloria]

Hi there,

I am estimating a state-space model of output gap for the US. I'm reproducing the results from a BIS working paper (attached).

Here is a simple model to help clarify my question :

Code: Select all

gdpln_us = ystar + c(1)*(gdpln_us(-1) - ystarlag) + 1600*e0 @state ystar = 2*ystar(-1) - ystarlag(-1) + e0 @state ystarlag = ystar(-1) @ename e0 @evar var(e0) = exp(c(20))

The authors restrict the coefficient c(1) to be between 0 and 0.95 and to have a mean of 0.8. How can I accomplish that with Eviews 7?

Thanks!

Mara

[startz]

I believe the paper you attached is doing a Bayesian estimation, which EViews doesn't do.

[maragloria]

Yes, he is doing Bayesian estimation. Too bad for me :(

I estimated the model with Eviews and c(1) is very close to 1. I guess that is why he's restricting it, to avoid the unit root. Thanks for you reply anyway.