First of all, I sincerely would like to thank all involved people for developing one of the greatest software ever seen.

Then, I'd like to tell that I'm very interested on implementing and calibrating a special version of the following model in the paper that can be accessed in the following link, which is a little bit different from those that, apparently, the Kalman Filter extension of GRETL supports.

Basically, in this paper, it is implemented and calibrated a State Space model using a Kalman Filter, where exogenous variables appear in both Measurement Equation and State Transition Equation.

Hence, I'd like to know if it is possible to implement and calibrate such kind of model in GRETL. If yes, how would I do that?

Before any answer like: "go read the manual", I've spent hours reading and implementing the examples given in there, and I've got no clue how to implement this kind of model. 

I was wondering trying to examine the exogenous variables as observables, and including an identity relationship to bypass such limitation.

Any ideas on that?

Thanks in advance for any help given.

Best Regards,

Fernando Fernandes Neto,

PhD Candidate - Systems Engineering - University of São Paulo