Am 29.05.2011 14:10, schrieb Luke Hartigan: > Hi all, > > I am interested in estimatingan unobservable parameter via the Kalman > Filter usingGretl. > > Basically, I need some helpin how toformulateandestimatea time > varyingNAIRU 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 ofinvolvesspecifyingthemodel in state-space form. > > I have consulted the manual and while it is very useful, Ijust need a > little moreguidanceif possible. > > Thank you >
gretl developer Jack Lucchetti has written an article about the state space stuff in the Journal of Statistical software. It should also be useful. -sven
