Inflation expectations dynamic factor model

[AdamElderfield]

Hi,

I am trying to apply a Aruoba's term structure of inflation expectations model (https://www.philadelphiafed.org/-/media ... 33C0BBF827) to Australian inflation expectations data.

I am running into a couple of problems with my DLM instruction:

## DLM2. No Observations Produce Valid Output. Check Data and Initial Values

While quite informative, I am not sure what I should be checking. It could be my starting values for my parameters, although I wouldn't say they are completely un-reasonable.

I was hoping someone could provide some guidance on how to proceed. I've attached my code and data below. Note, my data has quite a few missing observations, although this is something that the KF should be able to handle. In any case, I did try a version with data backcast, but still had no success.

INFE RATS.RPF

Program for INFE model

(5.39 KiB) Downloaded 1008 times

RBA_INFE.csv

Data for INFE model

(8.55 KiB) Downloaded 1019 times

Thanks

Adam

[AdamElderfield]

Turns out my starting values were quite the problem.. I have had some success with getting the model to estimate, not converge, by changing these.

[economics99]

Adam,

Did you manage to fix your code?

Raf