Estimation of the trend and cyclical component of unemployment - how do I find the steady state?

[jpfeifer]

That is no straightforward to achieve. See e.g.

Estimation in sub-samples

The dummy approach will not work. See Structural break in Bayesian estimation and DYNARE syntaxis The correct way would be as in All other approaches will not deliver the full joint density.

and

Estimation with deterministic break

Hello, this is like Kulish and Pagan’s implementation, see docs.google.com/viewer?a=v&pid= … TU0Yzc4MTY. It sets up the state space representation with time-varying matrices which are defined before entering the Kalman filter. This means you can estimate the date of the break as well as the parameter values before and after the break. The same process can be used to estimate ZLB durations – a sequence of ZLB durations implies a sequence of reduced forms, which then enter the Kalman filter. Sham…