[Gretl-users] Re: State space with three time-variant coefficients
On Fri, 8 Oct 2021, Sven Schreiber wrote:
Am 08.10.2021 um 13:44 schrieb Riccardo (Jack) Lucchetti:
> On Fri, 8 Oct 2021, Sven Schreiber wrote:
>
>> As explained below equation (36.5), what the listing 36.4 does is to
>> treat the time-varying coefficent as the latent state, using the
>> (apparently implicit) default of F == 1 == statemat.
>> (@jack: It seems that that default for statemat is not documented. If
>> there is no such default, then I don't know what's going on.)
>
> In that example, F is set to 1 because it is passed as an argument to
> ksetup(), and is never changed.
Ah of course, that makes sense!
(Maybe at some point in the future we could overload ksetup() to accept
an options bundle instead of the positional arguments, but that's a
different topic.)
One follow-up question though: What about the line with B.depvar =
{INFQ}? A search for "depvar" in the state-space chapter doesn't turn up
anything useful. And isn't the first arg to ksetup() already specifying
that?
A Kalman bundle can have extra keys, apart from the "special" ones such as
statevar, obsymat, etc. In that example depvar is used to have an object
you can subtract b0 from, just for convenience.
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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
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