Re: [Gretl-users] Time varying "latent" variable estimation via the Kalman filter

Hi all, I am interested in estimatingan unobservable parameter via the Kalman Filter usingGretl. Basically, I need some helpin how toformulateandestimatea time varyingNAIRU model: Measurement equation: Inflation_t =B_1*Inflation_t-1 +B_2 * (Unemployment_rate_t–NAIRU_t) + e_t Transition equation: NAIRU_t = NAIRU_t-1 + n_t The part I am unsure ofinvolvesspecifyingthemodel in state-space form. I have consulted the manual and while it is very useful, Ijust need a little moreguidanceif possible. Thank you