Inscrit le: 26 Avr 2018
|Posté le: Jeu 17 Mai - 13:30 (2018) Sujet du message: State space and NAIRU estimation
I some questions regarding the fomulation of my state space for use in NAIRU estimation using the Kalman filter. First, I'd like to ask some more general type questions. I have no issue with setting up the state space model and estimating it, but my results are not believable so I'm sure I have to make some ammendments. Particularily I'm unsure of how to specify the errors in my signal- and state equation. Let's say I have one signal equation modeling inflation as a function of the unemployment gap and other factors. My state equation models the beaviour of the NAIRU (random walk for now). So the state space could look something like this?
I didn't find the right solution from the Internet.
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