Hello everyone
I have been trying to replicate the Laubach and Williams paper: Measuring the Natural Rate of Interest. Link:http://www.frbsf.org/economic-resear.../wp2016-11.pdf
I have already been able to compute the first part of the estimation (obtain lambda_g) but I don't know how to impose it on the second stage of the model. Details of the procedure are given in page 7.
My question is: how do I tell Stata that there is a specific value for the ratio between the standard deviations of the state variables? Is it on the constraints? Or do I need to create a specific state equation just for this?
Thank you in advance
Greetings
Alexandre Mendonça
I have been trying to replicate the Laubach and Williams paper: Measuring the Natural Rate of Interest. Link:http://www.frbsf.org/economic-resear.../wp2016-11.pdf
I have already been able to compute the first part of the estimation (obtain lambda_g) but I don't know how to impose it on the second stage of the model. Details of the procedure are given in page 7.
My question is: how do I tell Stata that there is a specific value for the ratio between the standard deviations of the state variables? Is it on the constraints? Or do I need to create a specific state equation just for this?
Thank you in advance
Greetings
Alexandre Mendonça