The RATS Software Forum

Yes, you are right. I would like to estimate a Taylor rule with an AR(1) term (interest rate smoothing) and AR(1) errors.

Dear Tom, Thank you for your quick reply. The model is a standard Taylor rule (I know I could estimate it in a linear way but I don't want to for several reasons): i(t) = (1-rho_i)*(mu + gamma_pi*pi(t) + gamma_y*Ygap(t)) + rho_i*i(t-1) + u(t), whereas u(t) = lambda*u(t-1) + epsilon(t). My first idea...

Dear Tom,

I would like to estimate a nonlinear IV model with a moving average error structure. I played with different frml configurations but I didn't succeed. Is it possible to estimate such a model with nlls oder nlsystem?

Thank you for your help.

Best regards,
Mike