I want to implement the Laubach Williams (2003) model to EViews with some assumptions. The model is attached in a pdf.
My Code:
@ename e1
@ename e2
@ename e3
@evar var(e1) = exp(c(10))
@evar var(e2) = exp(c(11))
@evar var(e3) = exp(c(12))
@signal ygap=c(1)*ygap(-1) + c(2)*(r(-1)-rstar) + e1
@signal pi = c(3)*pi(-1) + c(4)*ygap(-1) + e2
@state rstar=c(5)*g + c(6)*z(-1) + e3
@state z=c(6)*z(-1) + e3
My problem: I get too big values for my rstar (natural rate of interest), because c(5) = -44'783. Can anyone help me or explain that to me?
Many thanks in advance!
Laubach Williams (2003) State Space Model
Moderators: EViews Gareth, EViews Moderator
Laubach Williams (2003) State Space Model
- Attachments
-
- untitled.wf1
- (19.07 KiB) Downloaded 642 times
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- model .pdf
- (24.4 KiB) Downloaded 857 times
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