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multivariate hp filter
Posted: Tue Aug 10, 2021 9:09 am
by ndzama
Greetings,
I need help with estimating the output gap using multivariate HP Filter. I want to extend the simple univariate HP filter with output-inflation relationship. But I am not sure how to code this on Eviews.
Re: multivariate hp filter
Posted: Sat Aug 14, 2021 7:51 am
by ndzama
Greetings,
I have tried to figure out the program for multivariate HP Filter. When I try to run the code I get this error message:
APPEND@STATE is not a valid view for HP_MOD_SA in
"HP_MOD_SA.APPEND@STATE TREND11=C(1) +
TREND11(-1)+ETA_TREND11" on line 48.
I do not understand why the message says "Append is not valid"
kindly assist. I have attached the data used and the program.
Re: multivariate hp filter
Posted: Mon Aug 16, 2021 8:51 am
by EViews Gareth
You need a space.
Code: Select all
hp_mod_SA.append @state trend11=c(1) + trend11(-1)+eta_trend11
Re: multivariate hp filter
Posted: Mon Oct 04, 2021 12:26 pm
by ndzama
Dear Gareth,
I have a problem with this error when I try to run the multivariate HPF.
Invalid lags or leads for state variables in signal equation
"@SIGNAL INFL_SA = C(1) +INFLEX_SA+ C(2)*GAP+C(3)*GAP(-1)+EPS_INFL_SA" in "HP_MOD_SA.ML" on line 1. This equation is the Philips curve, the inflation is expressed as the function of expected inflation, current and lagged output gap.
Kindly assist.
I have attached the code and programme.