Re: [Gretl-users] Time varying parameters models
On Fri, 21 Jun 2013, Henrique Andrade wrote:
Em 21 de junho de 2013, Logan Kelly escreveu:
Has anyone worked with time varying parameters models in Gretl? If so, has
> any one published any example code fragments?
>
Dear Logan, please find attached an example of TVP model estimated using
Gretl. It was mainly written by Jack Lucchetti (
http://lists.wfu.edu/pipermail/gretl-users/2011-February/005889.html)
You know, I didn't remember this at all, but now that I look at it again,
I think it'd make a nice function package. If someone volunteers, I
promise I'll do my best to help (I'll be online rather intermittently for
a few days).
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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