time-varying asymmetries using kalman filter

[kenlopes]

I am trying to estimate using Kalman filter time-varying asymmetries. I am following ikeda 2010. How to creating the state-space equations in EViews?. The paper is time-varying asymmetries in central bank preferences: the case of ECB.

[trubador]

As far as I know, the paper adopts a two-step approach to correct for the endogeneity of regressors. In each step a time-varying coefficent model is constructed, which is quite straightforward to implement in EViews. You can find plenty of examples and explanations in this forum and in the manual regarding the estimation of time varying coefficent model in EViews.