- I got rather normal looking results:
RESULTS FROM SMM (STAGE 2) ESTIMATION
parameters
Estimate s.d. t-stat
rhoa 0.9125 136.0079 0.0067
phipie 1.7941 396.2968 0.0045
rho 0.6996 168.7107 0.0041
psi 0.4839 57.5950 0.0084
phiy 1.0078 1039.0112 0.0010
rhou 0.7786 6.6186 0.1176
stdeva 0.0036 3.2428 0.0011
stdevj 5.1079 2022.7524 0.0025
- See One-sided HP filter - #4 by jpfeifer
Thus, your data mean is close to but not exactly zero. Similarly, you were matching other mean moments, but without estimating parameters that control these means. That does typically not work.
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