The RATS Software Forum

Hi there! This time the question is related to time-varying parameter specification. I included some restrictions to the last model above and things are working much better. Nevertheless, I realised that the assumption of “beta” being constant is not plausible. In fact, the catalan labour productivi...

Thanks a lot Tom. I'll think how to implement this restriction. I guess that one way would be to concentrate out the variance.

Thanks for your comment Tom! That makes sense. These days I rearranged the state space representation but I keep having big troubles, in particular with employment equations. I would not expect both variances of these error terms (equations 6 and 7 below)to be non significant. At this point, I would...

You are right, I have only two observables (GDP and Employment). However, it seems to be equivalent to include equation (3) in the observation equations (as I do) or to include it in the state equations, although that would entail some changes in the state space representation. I don’t know if this ...

Hi! I am trying to add more structure to the Clark model. In particular, I added and equation that relates employment cycle with output cycle, allowing for autocorrelation. The specification for the employment equations is quite similar to a work by Rafael Domenech (2013). Observation equations (1) ...

Thanks Tom. I got the State-Space Course last week. So I'm still assimilating the contents. Regarding my initial guess on the variance of z(t) I finally took advantatge of @LocalDLMInit procedure, and results look pretty much the same. @LocalDLMInit(trend=var_trend_rate) y 1955:01 2013:01 set var_sz...

Thanks for both insightfuls comments. In fact, estimates with Clark (1987) model are much better for catalan economy. y(t)=trend(t)+cycle(t) trend(t)=trend(t-1)+mu(t)+n(t) mu(t)= mu(t-1)+z(t) cycle(t)=alfa1*cycle(t-1)+alfa2*cycle(t-2)+e(t) where n(t), z(t) and e(t) are the shocks. Nevertheless, it w...

Dear Tom, I am trying to fit several state-space models to Catalan GDP (a Spanish autonomous community) to evaluate its cyclical position. To start with, I am trying to estimate Watson (1986) model, which is provided in Perron and Wada replication example (1999): y(t)=trend(t)+cycle(t) trend(t)=tren...