function void at_each_step(bundle *b)
    b.obsymat = transp(b.mX[b.t,])
end function

open AWM.gdt --quiet
smpl 1974:1 1994:1

/* parameter initialization */
scalar b0 = mean(INFQ)
scalar s_obs = 0.1
scalar s_state = 0.1

/* bundle setup */
bundle B = ksetup(INFQ, 1, 1, 1)
matrix B.mX = {URX}
matrix B.depvar = {INFQ}
B.timevar_call = "at_each_step"
B.diffuse = 1

/* ML estimation of intercept and the two variances */
mle LL = err ? NA : B.llt
    B.obsy = B.depvar - b0
    B.obsvar = s_obs^2
    B.statevar = s_state^2
    err = kfilter(&B)
    params b0 s_obs s_state
end mle

/* display the smoothed time-varying slope */
ksmooth(&B)
series tvar_b1hat = B.state[,1]
series tvar_b1se = sqrt(B.stvar[,1])
gnuplot tvar_b1hat --time-series --with-lines --output=display \
    --band=tvar_b1hat,tvar_b1se,1.96 --band-style=fill