On Sun, 13 Feb 2011, Henrique Andrade wrote: > Dear Gretl Community, > I trying to estimate a time-varying parameter model (TVP) using the > Kalman filter but I'm getting no success [...]
Henrique, your state-space model is not correctly specified; in fact, you have no "regressors": the Phillips curve parameters are your states and the explanatory variables (output gap etc) form a time-varying H matrix. I was going to send you an example, but the script I prepared for you unearthed a bug in CVS gretl, so please leave us a couple of days to fix this and then I'll send you a (hopefully) working example. Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti
