[Gretl-users] Re: State space modelling

Hi Sven progress - I have managed to get the Script to run with *time *as indep var -but MLE crashes on reaching max 500 interations . It didn't like the year variable I defined in an earlier run eg 2002, 2003 I think because it was a large magnitude different eg 10^3 to the dependent variable. So is there a way to increase the max no. of iterations in the MLE routine? see below for output.. ? function void at_each_step(bundle *b) > b.obsymat = transp(b.mX[b.t,]) > end function ? open WELSHEGGSCL.gdt --quiet Read datafile C:\Users\Brian\Documents\gretl\WELSHEGGSCL.gdt ? smpl 2002 2019 Full data range: 2002 - 2024 (n = 23) Current sample: 2002 - 2019 (n = 18) /* parameter initialization */ ? scalar b0 = mean(Severnadj) Generated scalar b0 = 9.84213 ? scalar s_obs = 0.1 Generated scalar s_obs = 0.1 ? scalar s_state = 0.1 Generated scalar s_state = 0.1 /* bundle setup */ ? bundle B = ksetup(Severnadj, 1, 1, 1) ? matrix B.mX = {time} ? matrix B.depvar = {Severnadj} ? 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 Using numerical derivatives Tolerance = 1.81899e-012 *Reached the maximum iterations (500)* Error executing script: halting > end mle On Tue, 1 Dec 2020 at 17:10, Sven Schreiber <svetosch(a)gmx.net&gt; wrote: > Am 01.12.2020 um 17:20 schrieb Brian Revell: > > Hi Sven > many thanks for your prompt feedback. Where did you paste it in? In the > Model MLE option from the GUI -or under File -Script File-menu option? > > The latter, yes, so basically in the built-in script editor. The MLE area > is meant for even lower-level access, without the predefined Kalman filter > objects. > > know where to do this. The manual is not helpful in this respect. > > In later parts of the guide it is pretty much assumed that people know > the scripting interface of gretl. However, at the beginning this is > explained, please see section 3.1. > > (BTW, in my version of the guide the script listing is number 36.4 in ch. > 36, I guess you have a slightly older version where some newer chapters do > not exist yet. But this shouldn't make a difference in this context.) > > cheers > > sven > _______________________________________________ > Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it > To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it > Website: > https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/ >