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 [...]

(...)

Ok, example attached. It uses some data from Stock & Watson's textbook and it shouldn't be difficult for you to make sense of it and adapt it to your needs. Be sure to use the current CVS version to avoid bugs.

Dear Jack, now I think I set up my problem using your script. But some (silly) questions remain:

(1) The estimated coefficients are filtered or smoothed?

(2) How could I retrieve the residuals (to make model diagnosis)?

Once again I would like to thank you so much for your help (this task is part of my Ph.D. thesis).