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Hi Mark: The problem isn't to estimate any parameters (so, I don't need use the likelihood function). I use the estimates published in the article and I'm trying to estimate the state (the root at = 1+ dt ) each period (the problem is similar to estimate an unobserved component time series model). I think the error is in the expression of the equations in state space form, but I'm not sure. Thank's for your collaboration Best regards Román Mínguez