EViews.com

Posted: **Fri May 24, 2013 1:45 pm**

Hi there,

I am estimating a state-space model of output gap for the US. I'm reproducing the results from a BIS working paper (attached).

Here is a simple model to help clarify my question :

Code: Select all

gdpln_us = ystar + c(1)*(gdpln_us(-1) - ystarlag) + 1600*e0

@state ystar = 2*ystar(-1) - ystarlag(-1) + e0
@state  ystarlag =  ystar(-1)

@ename e0
@evar var(e0) = exp(c(20))

The authors restrict the coefficient c(1) to be between 0 and 0.95 and to have a mean of 0.8. How can I accomplish that with Eviews 7?

Thanks!

Mara

Posted: **Fri May 24, 2013 2:16 pm**

I believe the paper you attached is doing a Bayesian estimation, which EViews doesn't do.

Posted: **Fri May 24, 2013 4:59 pm**

Yes, he is doing Bayesian estimation. Too bad for me :(

I estimated the model with Eviews and c(1) is very close to 1. I guess that is why he's restricting it, to avoid the unit root. Thanks for you reply anyway.

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