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But the thing is that i'm not specifying the initial values, as I'm dealing with time series variables I have no ideia about initial values of coefficients, specially considering I would have to set them for the state equations, for which I can't formulate an OLS counterpart. Do you think I should t...

You were completely right. And of a big help. I have one additional question. Often when I'm changing the specification of my State space model eviews goes crazy and gives completely strange coefficients in the estimation. My coefficients usually range from -5 to 5, and sometimes I get a coefficient...

But when i see the gradients of the ML function they are time varying. I'm following a paper that states "the total value of this TVC [like my sv2] and the bias free component are represented below, with the bias free effect given by subtracting the error term and the effect from C and D" ...

That seems to work, do you think it uses the time varying c(?) rather than the summary statistic appearing on estimation output? Any idea about a way to generate series for c(?) coefficients? Thanks!

I'm estimating a TVC by maximum likelihood. I use the state conditions to get time varying coefficients that will then be decomposed into biased and unbiased components. The idea is that if sv2 is the total coefficient sv2-c(2)-c(3)-error term will be the unbiased estimate of the coefficients. I can...