[Gretl-users] Time Varying Parameters Model

[Henrique Andrade]

Dear Gretl Community,

I trying to estimate a time-varying parameter model (TVP) using the Kalman
filter but I'm getting no success :( The model is a TVP Phillips curve for
Brazilian inflation augmented with the trade openness (my sample has 103
observations):

inf_f = b1(t)*inf(-1) + b2(t)*exp12m + b3(t)*gap(-1) + b4(t)*trade(-1) +
w(t)

b1(t) = b1(t-1) + v1(t)
b2(t) = b2(t-1) + v2(t)
b3(t) = b3(t-1) + v3(t)
 b4(t) = b4(t-1) + v4(t)

Where:

inf_f - non monitored prices
exp12m - 12 month expected inflation
gap - output gap
trade - trade openness


Based upon equations (26.1) and (26.2) from the Gretl User's Guide (p. 216)
I'm trying to setup the filter. Please take a look at the following
commands:

list regressors = inf exp12m gap trade

matrix y = {inf_f}       # Matrix order:(Txn)=(103x1)
matrix H = *?*             # Matrix order:(rxn)=(4x1)
matrix x = {regressors}  # Matrix order:(Txk)=(103x4)
matrix F = I(4)          # Matrix order:(rxr)=(4x4)
matrix Q = *?*             # Matrix order:(rxr)=(4x4)

How can I define H and Q?

Best,
-- 
*Henrique C. de Andrade*
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge

Dear Gretl Community,

I trying to estimate a time-varying parameter model (TVP) using the Kalman filter but I'm getting no success :( The model is a TVP Phillips curve for Brazilian inflation augmented with the trade openness (my sample has 103 observations):

inf_f = b1(t)*inf(-1) + b2(t)*exp12m + b3(t)*gap(-1) + b4(t)*trade(-1) + w(t)

b1(t) = b1(t-1) + v1(t)

b2(t) = b2(t-1) + v2(t)

b3(t) = b3(t-1) + v3(t)

b4(t) = b4(t-1) + v4(t)

Where:

inf_f - non monitored prices

exp12m - 12 month expected inflation

gap - output gap

trade - trade openness

Based upon equations (26.1) and (26.2) from the Gretl User's Guide (p. 216) I'm trying to setup the filter. Please take a look at the following commands:

list regressors = inf exp12m gap trade

matrix y = {inf_f}       # Matrix order:(Txn)=(103x1)

matrix H = ?             # Matrix order:(rxn)=(4x1)

matrix x = {regressors}  # Matrix order:(Txk)=(103x4)

matrix F = I(4)          # Matrix order:(rxr)=(4x4)

matrix Q = ?             # Matrix order:(rxr)=(4x4)

How can I define H and Q?

Best,
--
Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge