I am trying to estimate time-varying parameter to check if Phillips curve has been flattening.
Following is the simplified version of my code.
var pi yc beta;
varexo e u v;
pi(t) = pi(t-1) + beta(t)*yc(t) + e(t)
beta(t) = beta(t-1) + u(t)
yc(t) = yc(t-1) + v(t);
where pi(t) means inflation, yc(t) gdp gap, beta(t) time-varying parameter, e(t), u(t), v(t) are error terms. pi(t) and yc(t) are observables. beta(t) is unobservable.
I know the model is non-linear and we could not get right answer from old versions of Dynare.
Is it possible to estimate time-varying parameter beta(t) with recent version of Dynare? If it is, how?
Many thanks in advance.