Re: [Gretl-users] Time-Varying Parameters
On Sun, 15 Jan 2012, Henrique Andrade wrote:
Last year I ask this list about the estimation of time-varying
parameter
models (TVP models) and Jack Lucchetti sent to me a working example. Now
I'm trying to modify the original script (lines 78-80 in the attached
script) in order to allow changes in only one parameter but I'm getting no
success. Please take a look in my code:
<original script>
open sw_ch14.gdt --quiet
genr INFL = 100*ldiff(PUNEW)
list t_var_X = const INFL(-1) LHUR # time-varying
list t_invar_X = LHUR(-1) # time-invariant
list X = t_var_X t_invar_X
</original script>
<my script>
open sw_ch14.gdt --quiet
genr INFL = 100*ldiff(PUNEW)
list t_var_X = LHUR # time-varying
list X = t_var_X
</my script>
Could you please help me with this issue?
The original model has time-varying X = (const, INFL(-1),
LHUR) and time-invariant X = LHUR(-1). Your revision has just
one time-varying X (= LHUR) and no time-invariant terms, not
even a constant. Is that really what you want?
If you simply want to revise the original model so as to make
fewer terms time-varying you could do:
list t_var_X = LHUR # time-varying
list t_invar_X = const INFL(-1) LHUR(-1) # time-invariant
list X = t_var_X t_invar_X
Note that if you change the number of time-varying parameters
you need to adjust the definition of the matrix theta (15 or
so lines below) accordingly. For example, given the
specification above you would make the change:
matrix theta = {sigma ; -5; -5; -6} # original version
matrix theta = {sigma ; -6} # revised version
Allin Cottrell