Re: [Gretl-users] Time-Varying Parameters

Em 15 de janeiro de 2011 Allin escreveu: (...) Yes, it is. Actually, the aim of my model is to decompose the government balance into two components: rule and discretion. Please take a look at my model: FP(t) = dR(t) + w1(t) dR(t) = b(t)dgap(t) b(t) = b(t-1)+ w2(t) Where: FP represents the fiscal policy (measured as changes in the government balance) R represents the automatic component of the fiscal policy that responds to changes in the output gap (dgap) w1, w2, and w3 represent the errors To make the estimations, I'm transforming the system above into this: FP(t) = b(t)dgap(t) + w1(t) b(t) = b(t-1)+ w2(t) So the first term on the right side is the "rule" and the second is the "discretion". In the context of Jack's script, what could I do to estimate something like this: list t_var_X = LHUR # time-varying list X = t_var_X Thanks a lot for your help, Allin! Best, Henrique Andrade* *