The code is running but it is giving me continuous warnings:
univariate_diffuse_kalman_filter:: T does influence the rank of Pinf!
basic_4_plus_plus.mod (2.9 KB)
final_trunc.xlsx (14.7 KB)
The code is running but it is giving me continuous warnings:
univariate_diffuse_kalman_filter:: T does influence the rank of Pinf!
basic_4_plus_plus.mod (2.9 KB)
final_trunc.xlsx (14.7 KB)
Sorry, but I don’t understand the question. Your data is clearly still trending, which will not work.
Professor, can’t we estimate a general non-stationary state space model in dynare with diffuse filter option?
Can’t dynare (diffuse filter option) handle more than one unit root?
Also a follow up question, if the paramter that I want to a paramter that can take both postive and negative value, what should be its prior distribution?
Thank you so much professor for your response.