Nothing
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.
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
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