On Sun, 13 Feb 2011, Riccardo (Jack) Lucchetti wrote:
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.