# Time-varying Parameter Model with Dynare

**URL:** <https://forum.dynare.org/t/time-varying-parameter-model-with-dynare/13446>\
**Category:** Estimation\
**Created:** [21 March 2019 02:57 UTC](https://forum.dynare.org/t/time-varying-parameter-model-with-dynare/13446 "2019-03-21T02:57:01Z")\
**Posts on this page:** 5\
**Page:** 1

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**Author:** ![KTS](https://forum.dynare.org/letter_avatar_proxy/v4/letter/k/c67d28/32.png) [@KTS](https://forum.dynare.org/u/KTS)\
**Post date:** [21 March 2019 02:57 UTC](https://forum.dynare.org/t/time-varying-parameter-model-with-dynare/13446/1 "2019-03-21T02:57:02Z")

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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;

model;  
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);  
end;

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.

KTS

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**Author:** ![jpfeifer](https://forum.dynare.org/user_avatar/forum.dynare.org/jpfeifer/32/5044_2.png) [@jpfeifer](https://forum.dynare.org/u/jpfeifer)\
**Post date:** [27 March 2019 19:35 UTC](https://forum.dynare.org/t/time-varying-parameter-model-with-dynare/13446/2 "2019-03-27T19:35:09Z")

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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.

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**Author:** ![KTS](https://forum.dynare.org/letter_avatar_proxy/v4/letter/k/c67d28/32.png) [@KTS](https://forum.dynare.org/u/KTS)\
**Post date:** [28 March 2019 00:15 UTC](https://forum.dynare.org/t/time-varying-parameter-model-with-dynare/13446/3 "2019-03-28T00:15:28Z")

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Thank you for the answer.  
Have a good day!

KTS

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**Author:** ![rushuangsiyue](https://forum.dynare.org/letter_avatar_proxy/v4/letter/r/f05b48/32.png) [@rushuangsiyue](https://forum.dynare.org/u/rushuangsiyue)\
**Post date:** [2 November 2020 14:04 UTC](https://forum.dynare.org/t/time-varying-parameter-model-with-dynare/13446/4 "2020-11-02T14:04:46Z")

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

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**Author:** ![jpfeifer](https://forum.dynare.org/user_avatar/forum.dynare.org/jpfeifer/32/5044_2.png) [@jpfeifer](https://forum.dynare.org/u/jpfeifer)\
**Post date:** [2 November 2020 14:43 UTC](https://forum.dynare.org/t/time-varying-parameter-model-with-dynare/13446/5 "2020-11-02T14:43:56Z")

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You used to be able to simply google them.