Re: [Gretl-devel] State Space Modeling: possible mistake in User's Guide
2018-03-06 16:22 GMT-03:00 Riccardo (Jack) Lucchetti <r.lucchetti(a)univpm.it>:
On Tue, 6 Mar 2018, Henrique Andrade wrote:
> By the way, now I'm trying to replicate all Commandeur & Koopman's book
> with the very important help of Gretl community (mainly Jack) and I would
> love to share the results with all the users (I'm finishing chapter 5). I
> think it could be available in the same way as the scripts from Greene and
> Ramanathan.
Are you using the StrucTiSM package, or just the "raw" Kalman apparatus?
Just for didactics reason I am using the Kalman apparatus. In this way
I want to make it clear to the user how to write the equations in the
state space format. The replications I saw in R and RATS do not do
this and, IMHO, they can't really help the user to learn how to solve
more general problems. As my goal is to help them to understand the
subject, I chose this approach.
Best,
Henrique