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State space estimation Syntax error

Posted: Wed Nov 07, 2012 1:42 am
by xychen1
Hi,
I tried to use triangular approach to estimate Nairu. I constructed a state space model according to Gordon 1997.
However I encountered a syntax error msg while estimating my model. Can someone help? Thanks. Here is my model below:

@signal inflation_rate =c(1) + c(2) * inflation_rate(-1) + c(3) * ue_gap + c(4)* imp_price + c(5) * food_energy + [var = exp(c(1))]

@signal u_rate = ue_gap + nairu

@state nairu = nairu(-1) + [var = exp(c(6))]

param c(1) .0 c(2) .0 c(3) .0 c(4) .0 c(5) .0 c(6) .0

Re: State space estimation Syntax error

Posted: Wed Nov 07, 2012 6:25 am
by trubador
I think, ue_gap should be a state variable as well. In that case, you have to define its dynamics separately. We had similar discussion on this model before, please refer here for more information: http://forums.eviews.com/viewtopic.php?f=4&t=4366

Please also note that constant and variance have the same coefficent, c(1), in your first signal equation. This will probably lead to estimation problems.