9:11 a.m.
svetosch(a)gmx.net @ INTERNET skrev 2008-04-28 12:52:49 :
Hi,
I think I've asked about it before, but the "big" feature I'm
missing in gretl is the Kalman filter for state-space models.
The "big" feature I am missing in gretl is quantile regression.
Andreas
9:39 a.m.
New subject: kalman filter status?
On Wed, 7 May 2008, andreas.rosenblad(a)ltv.se wrote:
svetosch(a)gmx.net @ INTERNET skrev 2008-04-28 12:52:49 :
> Hi,
>
> I think I've asked about it before, but the "big" feature I'm
> missing in gretl is the Kalman filter for state-space models.
The "big" feature I am missing in gretl is quantile regression.
Both features are, at the moment, in the planning stage. My guess is that
we'll release 1.7.5 quite soon to incorporate in the official version the
bug fixes we've accumulated so far, plus a few extra features. If you look
at the Changelog at http://gretl.sourceforge.net/ChangeLog.html, you'll
see there's a hefty amount of stuff already.
What I'd like to have in before releasing 1.7.5 are
1) we're working on an "ODBC connector", which enables gretl to fetch data
from DBMSes like Oracle, MySQL, Postgres etcetera. The basic
infrastructure is already in CVS: the missing bits are (a) documentation
(b) thorough testing (c) a reasonable GUI interface. IMO, chances are this
can be done within the end of May and the ODBC facility (marked as
"experimental") can be included in 1.7.5;
2) I haven't had time to look at geno's anova patch (sorry, geno!), but it
seems likely that it shouldn't take long to incorporate it into CVS.
IMO, once this is done we may release 1.7.5 and concentrate on
kalman + quantile regression (and more).
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti
9:35 a.m.
New subject: kalman filter status?
Riccardo (Jack) Lucchetti schrieb:
1) we're working on an "ODBC connector", which enables gretl to fetch
data from DBMSes like Oracle, MySQL, Postgres etcetera. The basic
infrastructure is already in CVS: the missing bits are (a) documentation
(b) thorough testing (c) a reasonable GUI interface. IMO, chances are
this can be done within the end of May and the ODBC facility (marked as
"experimental") can be included in 1.7.5;
in principle this sounds cool, but what actually is the pressing need
for it? Or to put it differently: should 1.7.5 really be delayed for
that reason?
IMO, once this is done we may release 1.7.5 and concentrate on kalman +
quantile regression (and more).
let me repeat my other question: do you want/need suggestions for the
Kalman "API"/syntax/interface?
thanks,
sven
3:27 a.m.
New subject: kalman filter status?
On Thu, 8 May 2008, Sven Schreiber wrote:
Riccardo (Jack) Lucchetti schrieb:
>
> 1) we're working on an "ODBC connector", which enables gretl
> to fetch data from DBMSes like Oracle, MySQL, Postgres
> etcetera. The basic infrastructure is already in CVS: the
> missing bits are (a) documentation (b) thorough testing (c) a
> reasonable GUI interface. IMO, chances are this can be done
> within the end of May and the ODBC facility (marked as
> "experimental") can be included in 1.7.5;
in principle this sounds cool, but what actually is the pressing
need for it? Or to put it differently: should 1.7.5 really be
delayed for that reason?
I'm not sure the need is pressing, or that 1.7.5 should be delayed
for this reason. But also, I don't think Jack is saying that; I
hear him as saying that since the ODBC material is quite far
along, it might be possible to include it in 1.7.5 within the
"natural" time-frame of the latter (i.e. fairly soon).
let me repeat my other question: do you want/need suggestions
for the Kalman "API"/syntax/interface?
Jack produced some useful working notes on this back in February.
I'm taking the liberty of attaching his TeX source; comments are
welcome.
Allin.
9:25 a.m.
New subject: kalman filter status?
On Fri, 9 May 2008, Allin Cottrell wrote:
On Thu, 8 May 2008, Sven Schreiber wrote:
> Riccardo (Jack) Lucchetti schrieb:
>>
>> 1) we're working on an "ODBC connector", which enables gretl
>> to fetch data from DBMSes like Oracle, MySQL, Postgres
>> etcetera. The basic infrastructure is already in CVS: the
>> missing bits are (a) documentation (b) thorough testing (c) a
>> reasonable GUI interface. IMO, chances are this can be done
>> within the end of May and the ODBC facility (marked as
>> "experimental") can be included in 1.7.5;
>
> in principle this sounds cool, but what actually is the pressing
> need for it? Or to put it differently: should 1.7.5 really be
> delayed for that reason?
I'm not sure the need is pressing, or that 1.7.5 should be delayed
for this reason. But also, I don't think Jack is saying that; I
hear him as saying that since the ODBC material is quite far
along, it might be possible to include it in 1.7.5 within the
"natural" time-frame of the latter (i.e. fairly soon).
I experimented with this quite a bit last week. The implemetation seems to
be pretty robust (kudos to Allin). I suppose that, after writing some
documetation (already partly done here), odbc can go in 1.7.5 as is now,
with a big red "EXPERIMENTAL" sticker on it. We wouldn't have a GUI
interface, but I can live with this.
> let me repeat my other question: do you want/need suggestions
> for the Kalman "API"/syntax/interface?
Jack produced some useful working notes on this back in February.
I'm taking the liberty of attaching his TeX source; comments are
welcome.
I'm attaching a revised version, which contains a quite cool idea (If I
may say so myself) I had some time ago, that is using the KF as a
simulation tool too. Comments very welcome.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti
9:01 a.m.
New subject: kalman filter status?
Am 10.05.2008 11:25, Riccardo (Jack) Lucchetti schrieb:
On Fri, 9 May 2008, Allin Cottrell wrote:
>
> Jack produced some useful working notes on this back in February.
> I'm taking the liberty of attaching his TeX source; comments are
> welcome.
I'm attaching a revised version, which contains a quite cool idea (If I
may say so myself) I had some time ago, that is using the KF as a
simulation tool too. Comments very welcome.
With some delay I have now read it, and I have nothing much to add. I
like the idea about the user-defined function to specify the
time-varying parameters.
It could be that there is some room for minor syntactical improvements,
but I guess that is better discussed after the prototype implementations
are done.
With respect to simulation, if it's not difficult to implement, then it
certainly would be nice. Whether it's terribly important or useful I
can't say.
cheers,
sven
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6 comments
4 participants
participants (4)
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Allin Cottrell -
andreas.rosenblad＠ltv.se -
Riccardo (Jack) Lucchetti -
Sven Schreiber