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Here us the workfile. It includes the data series I've been using, as well as various models I've estimated.

I have estimated my model using code similar to what you suggested in your first reply. I have used various different specifications of the state equation for the unemployment gap variable, including pure noise, random walk, and AR(2). Here is the code with the specification of the ue_gap variable a...

@trubador, Thanks for your quick reply, once again. I wonder whether the last exchange of messages involves a misunderstanding. For the purposes of the model I have laid out, the "unemployment gap" is, by definition, equal to the actual unemployment rate minus the NAIRU. Thus, an equation ...

@trubador, Thanks for your reply. It is very helpful. Two of the changes you made to my code seem clear: 1) The need to specify the constant term in the first signal equation in the form c(n). 2) The need to have the left-hand variable in the second signal equation be an observable variable, so the ...

I am trying to estimate a Phillips curve model, following the "triangular" approach of Gordon (1997), in which the basic determinants of the inflation rate are inertia (lagged values of inflation rate), demand pressure (the GDP gap or unemployment gap), and supply shocks (index of food and...