Following the paper https://www.jstor.org/stable/20111963?seq=1 I’m trying to estimate the output gap by using, among others, a time-varying Phillips curve.

The problem is that I get a smoothed estimate of beta that is a constant but I modeled beta as a random walk (the beta is the partial derivative of inflation with respect to the output). What am I doing wrong here?

data.xls (38.5 KB)

outputgap.mod (1.1 KB)