[Gretl-users] Re: State space model with missing observations

On Wed, 23 Dec 2020, Riccardo (Jack) Lucchetti wrote: OK, I got it now: Sven is right, the missing entries in the loglikelihood should be turned into zeros. However, for doing this you need to be able to turn the "llt" element of the Kalman bundle (which is a matrix) into a series, and to do that, you need to ensure that they are the same length. Therefore, to prevent gretl from dropping the rows with missing entries, you need to set skip_missing to "off", as in (I'm only showing the relevant part of the script): <hansl> set skip_missing off /* ML estimation of intercept and the two variances */ mle LL = err ? NA : misszero(llik) B.obsy = B.depvar - b0 B.obsvar = s_obs^2 B.statevar = s_state^2 err = kfilter(&B) series llik = B.llt params b0 s_obs s_state end mle </hansl> Alternatively, you can emulate the behaviour of misszero() "by hand", without using the "set" command, as in <hansl> mle LL = err ? NA : llik B.obsy = B.depvar - b0 B.obsvar = s_obs^2 B.statevar = s_state^2 err = kfilter(&B) series llik = ok(B.llt) ? B.llt : 0 params b0 s_obs s_state end mle </hansl> Two questions for Allin: (a) would you object to extending the misszero() function to matrix arguments? (b) some time ago, we discussed the possibility of allowing printf statements inside mle blocks. How do you feel about that? ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti -------------------------------------------------------