Hi all, I am interested in estimating an unobservable parameter via the Kalman Filter using Gretl. Basically, I need some help in how to formulate and estimate a time varying NAIRU model: Measurement equation: Inflation_t = B_1*Inflation_t-1 + B_2 * (Unemployment_rate_t - NAIRU_t) + e_t Transition equation: NAIRU_t = NAIRU_t-1 + n_t The part I am unsure of involves specifying the model in state-space form. I have consulted the manual and while it is very useful, I just need a little more guidance if possible. Thank you Luke