Dear Gretl Team, I'd tried to replicate the example 27.2 of the Gretl User’s Guide but I'd found an error: <error message> 'Uhat' is not the name of a variable Error executing script: halting </error message> I think the problem is only due to the name "muhat" and "Uhat". Um abraço, Henrique ################################ # # # Example 27.2: Local level model # # # ################################ function matrix local_level (series y) /* starting values */ scalar s1 = 1 scalar s2 = 1 /* Kalman filter set-up */ kalman obsy y obsymat 1 statemat 1 statevar s2 obsvar s1 end kalman --diffuse /* ML estimation */ mle ll = ERR ? NA : $kalman_llt ERR = kfilter() params s1 s2 end mle return s1 ~ s2 end function function series loclev_sm (series y, scalar s1, scalar s2) /* return the smoothed estimate of \mu_t */ kalman obsy y obsymat 1 statemat 1 statevar s2 obsvar s1 end kalman --diffuse series ret = ksmooth() return ret end function /* -------------------- main script -------------------- */ nulldata 200 set seed 202020 setobs 1 1 --special true_s1 = 0.25 true_s2 = 0.5 v = normal() * sqrt(true_s1) w = normal() * sqrt(true_s2) mu = 2 + cum(w) y = mu + v matrix Vars = local_level(y) # estimate the variances muhat = loclev_sm(y, Vars[1], Vars[2]) # compute the smoothed state foreign language=R --send-data y <- gretldata[,"y"] a <- StructTS(y, type="level") a StateFromR <- as.ts(tsSmooth(a)) gretl.export(StateFromR) end foreign append @dotdir/StateFromR.csv ols Uhat 0 StateFromR --simple