Em 6 de março de 2018, Allin escreveu:

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I think I see a cause for potential confusion. For the coefficient matrices, subscript t indicates (possible) time dependence. For example, F (r x r) is written as F_t in equation (33.1) to allow the the possibility that it's time-varying (though most likely it's constant). The matrix of exogenous variables (x), however, inherently has a leading dimension of T, and the expression "x_t" refers, as Jack says, to the transpose of row t of x.

I guess this could be stated when the dimension of x_t is first mentioned, as in "x_t is a (k x 1) vector of exogenous variables, the transpose of row t of a T x k matrix x." ?

Dear Allin and Jack,

I like Allin's idea :-). Seizing the opportunity... What do you think about include more examples about state-space models on User's Guide? I think it could be very useful for newcomers like me :-)

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.

In addition, we could ask Commandeur and Koopman to include our replications as they did with R's replication on the website http://www.ssfpack.com/CKbook.html

The main goal here is broaden Gretl's visibility :-)

Best,
Henrique