Table 8. Estimation Result of Unobserved Component Model

lnyi,t=γi×xt+αi×ct+  ei,t,  ei,t∼i.i.d.N(0,σi2)xt=xt−1+vx,t,  vx,t∼i.i.d.N(0,σv,x2)ct=ϕ×  ct−1+  vc,t,  vc,t∼i.i.d.N(0,σv,c2)
-	Estimate	Standard error
ø	0.989***	0.001
γc	0.931***	0.007
γp	0.921***	0.008
αc	0.984***	0.004
αp	0.823***	0.014
σc2	0.188	-
σp2	0.000	-

Note: indicate significance at 1% level.