kuttner.md
In RGAP: Production Function Output Gap Estimation

Kuttner model

Call:
KuttnerModel(tsl = tsList)

    State space model object of class KuttnerModel

cycle               AR2
trend               RW1
inflation equation
  cycle lags            1
  error term            ARMA(0,3)
  exogenous variables       gdpGL1
anchor
  value             -
  horizon           -
dimensions
  number of observations    30
  period            1991 - 2020
  frequency             annual

Object is a valid object of class KuttnerModel.

Kuttner MLE fit

Call:
fit.KuttnerModel(model = model, parRestr = parRestr)

    State space model object of class KuttnerModel

cycle               AR2
trend               RW1
inflation equation
  cycle lags            1
  error term            ARMA(0,3)
  exogenous variables       gdpGL1
anchor
  value             -
  horizon           -
dimensions
  number of observations    30
  period            1991 - 2020
  frequency             annual


    Maximum likelihood estimation results

cycle
         Coefficient Standard Error t-statistic p-value
  cPhi1        1.462           0.15       9.750 0.00000
  cPhi2       -0.534           1.43      -0.375 0.70799
  cSigma       1.803           0.65       2.771 0.00558

trend
          Coefficient Standard Error t-statistic  p-value
  tSigma        0.354          0.318        1.11 2.65e-01
  tdConst       1.995          0.278        7.17 7.28e-13

inflation equation
                Coefficient Standard Error t-statistic  p-value
  inflC1           -0.00125        0.00814      -0.154 0.877910
  inflConst        -0.14771        0.09812      -1.505 0.132221
  inflErrGamma1    -0.22683        0.24143      -0.940 0.347462
  inflErrGamma2    -0.29116        0.14544      -2.002 0.045287
  inflErrGamma3    -0.48240        0.22927      -2.104 0.035370
  inflGdpGL1        0.07391        0.04591       1.610 0.107460
  inflSigma         0.37865        0.10319       3.669 0.000243
  RMSE: 0.637
  R2: 0.385
  Box-Ljung test: X-squared = 2.54, df = 6, p-value = 0.864

         loglik             AIC             BIC             HQC signal-to-noise 
       -82.5270        189.0541        205.8685        194.4331          0.1964