[Gretl-users] Re: Kalman and MLE issue
ok, thanks Allin.
Maybe the following part in the User guide should be rephrased in some
future version, Section 34.6, pp. 308, presenting the ksmooth thing
<<On successful completion, */all the quantities/* computed by kfilter
are available as bundle members
(see section 34.5),...>>
This is what gave me the impression that I could use ksmooth (this and
the first sentence in p. 308 that says <<Note that since ksmooth starts
with a forward pass, it can be run without a prior call to kfilter.>>)
Alecos Papadopoulos PhD
Athens University of Economics and Business
web: alecospapadopoulos.wordpress.com/
skype:alecos.papadopoulos
On 30/12/2019 01:40, Allin Cottrell wrote:
On Mon, 30 Dec 2019, Alecos Papadopoulos wrote:
> I am trying to estimate the parameters of a model that also has
> latent state variables, using the Kalman filter and maximum likelihood.
>
> After setting up the filter, which I run and it appears to work fine
> on its own (i.e treating the parameters fixed to their initial
> values), I follow the example script in p. 313 of User's guide, where
> the mle command line is
>
> mle logl = ERR ? NA : kb.llt (where "kb" is the name of the
> Kalman bundle)
>
> and inside the mle command we see
>
> ERR = kfilter(&kb)
>
> I wrote the same syntax but using "ksmooth" instead of
"kfilter".
>
> I get the message
>
> "llt": no such item
> The formula 'logl = ERR ? NA : kb.llt'
> produced an error on execution
You need a forward pass (kfilter) to get the loglikelihood. The
backward pass (ksmooth) gives you smoothed estimates of the state and
its variance after filtering.
Allin
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