Time-varying Parameter Model with Dynare

Dear all,

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.


That is still not easily doable. You might want to have a look at Fabio Canova’s lecture notes/slides/codes that tackle this issue.

Thank you for the answer.
Have a good day!


where can I get Fabio Canova’s lecture notes/slides/codes?

You used to be able to simply google them.