[Gretl-users] State space modelling

I wanted to estimate a model with a time varying parameter (on a simple linear trend) and would appreciate some guidance as I am not a programmer in Gretl's language. 1) Where in the GUI Model set of commands do you access the State Space modelling - is by writing the spec in the MLE option? 2) I loaded the example file AWM.gdt 3)Entered the commands below exactly as specified in the manual viz. Listing 34.4: Phillips curve on Euro data with time-varying slope 4) It died at the first line. function void at_each_step(bundle *b) b.obsymat = transp(b.mX[b.t,]) end function open AWM.gdt --quiet smpl 1974:1 1994:1 /* parameter initialization */ scalar b0 = mean(INFQ) scalar s_obs = 0.1 scalar s_state = 0.1 /* bundle setup */ bundle B = ksetup(INFQ, 1, 1, 1) matrix B.mX = {URX} matrix B.depvar = {INFQ} B.timevar_call = "at_each_step" B.diffuse = 1 /* ML estimation of intercept and the two variances */ mle LL = err ? NA : B.llt B.obsy = B.depvar - b0 B.obsvar = s_obs^2 B.statevar = s_state^2 err = kfilter(&B) params b0 s_obs s_state end mle /* display the smoothed time-varying slope */ ksmooth(&B) series tvar_b1hat = B.state[,1] series tvar_b1se = sqrt(B.stvar[,1]) gnuplot tvar_b1hat --time-series --with-lines --output=display \ --band=tvar_b1hat,tvar_b1se,1.96 --band-style=fill