how to specify a measurement error in a stasionary equation

[leogaoyang]

Dear All,
In my model there is a endogeneous variable q(t),house price. I want to specify a measurement error in this variable.

also, I have a stasionary equation: q(t)/c(t)=beta*q(t+1)/c(t+1).

I want to know how to how to specify a measurement error in a stasionary equation ?

also,can I specify std of this measurement error follows a normal distribution or other distribution and estimate the std. of measurement error in estimate_paras bolck ?

My aim is that to find that how a measurement error in q(t) will affect the investment and output in the model.

[jpfeifer]

Just treat the measurement error as a structural shock and interpret it as measurement error. I.e. define

Code: Select all

q_obs=q+eps_meas;

where q_obs is the observed series and eps_meas is a shock whose stderr you define in the estimated_params-block.

[leogaoyang]

Dear jpfeifer：

Thank you very much !

[leogaoyang]

Dear all：

attached file is my mod file and data file.

do you know why the measurement error term has no effect on y,i,k,q ?

thank you very much !