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Hi,

I want to estimate a multi-variate state-space model. My signal equation is as below (all observed variables):

@signal gdp = c(1)*gdp(-1) + c(2)*trade(-1) + [var = exp(c(3))]

Now I want to include an unobserved state variable which follows a random-walk process without a drift.

Please help! Many thanks.
Creg

Hi,

I want to estimate a multi-variate state-space model. My signal equation is as below (all observed variables):

@signal gdp = c(1)*gdp(-1) + c(2)*trade(-1) + [var = exp(c(3))]

Now I want to include an unobserved state variable which follows a random-walk process without a drift.

Please help! Many thanks.
Creg

something like

Hi,

Many thanks for the reply. I tried the following model:

@signal gdp = c(1)*gdp(-1) + c(2)*trade(-1) + [var = exp(c(3))]
@state sv1 = sv1(-1) + [var = exp(c(4))]

However, I get the following warning and the results are incomplete, as shown below.


WARNING: Singular covariance - coefficients are not unique

Coefficient Std. Error z-Statistic Prob.

C(1) 0.875527 NA NA NA
C(2) 0.018035 NA NA NA
C(3) -9.696770 NA NA NA
C(4) 0.173547 NA NA NA

Have you got any idea, please?

The state variable needs to be linked into the data in the model somehow. Otherwise it's not identified.

Hi,
Thanks again. Can I clarify this please; my state variable is meant to be the long run trend value of one regressor?

In that case, how to modify the following state equation, making a link to the regressor in the signal equation, pleasse?
@state sv1 = sv1(-1) + [var = exp(c(4))]

PS: I tried with the mean of the regressor "as a mean prior" but I get the same result.