Dear Gretl Community,<div><br></div><div>Last year I ask this list about the estimation of time-varying parameter models (TVP models) and Jack Lucchetti sent to me a working example. Now I&#39;m trying to modify the original script (lines 78-80 in the attached script) in order to allow changes in only one parameter but I&#39;m getting no success. Please take a look in my code:</div>

<div><br></div><div>&lt;original script&gt;</div><div><div>open sw_ch14.gdt --quiet</div><div>genr INFL = 100*ldiff(PUNEW)</div><div>list t_var_X = const INFL(-1) LHUR # time-varying</div><div>list t_invar_X = LHUR(-1)               # time-invariant</div>

<div>list X = t_var_X t_invar_X</div><div>&lt;/original script&gt;</div><div><br></div><div><div>&lt;my script&gt;</div><div><div>open sw_ch14.gdt --quiet</div><div>genr INFL = 100*ldiff(PUNEW)</div><div>list t_var_X = LHUR # time-varying</div>

<div>list X = t_var_X</div><div>&lt;/my script&gt;</div></div></div><div><br></div><div>Could you please help me with this issue?</div><div><br></div><div>Best regards, </div><font><font face="tahoma, sans-serif">Henrique Andrade<b><br>

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