Estimating the FED implicit inflation target: A state space approach
Posted: Mon Feb 03, 2020 9:40 pm
Hi,
I'm trying to replicated the model attached. https://www.sciencedirect.com/science/a ... 890700190X
However, I'm do not know how to specify the variance for the state and the signal in Eviews for a giving lamda value.
Moreover, can I set the first value of the RW to a certain value in Eviews (for example 2%) for the first observation of the sample?
Can anyone suggest how it can be done in Eviews?
Thank you,
anissb
I'm trying to replicated the model attached. https://www.sciencedirect.com/science/a ... 890700190X
However, I'm do not know how to specify the variance for the state and the signal in Eviews for a giving lamda value.
Moreover, can I set the first value of the RW to a certain value in Eviews (for example 2%) for the first observation of the sample?
Can anyone suggest how it can be done in Eviews?
Thank you,
anissb