Re: [Gretl-users] Estimation of a State Space Model with Exogenous Variables in the State Transition Equation

Am 21.08.2015 um 15:52 schrieb Fernando Fernandes Neto: Basically, in this paper, it is implemented and calibrated a State Space > model using a Kalman Filter, where exogenous variables appear in both > Measurement Equation and State Transition Equation. > > Hence, I'd like to know if it is possible to implement and calibrate > such kind of model in GRETL. If yes, how would I do that? > Hi Fernando, after thinking only a little about it, I have two kinds of answers: First, I am not aware that explicitly putting exogenous variables into the state transition equation is possible in gretl. I may be wrong, however. Secondly, my guess is that if the state transition depends on exogenous factors, it could/should be possible to model this as a time-varying transition matrix. Treating the transition matrix as time-varying is possible in gretl's state-space implementation AFAIK. In this case it would probably help to include a constant term into the state equation, too, (which is possible in gretl now I think) in order to avoid automatic interaction effects between the lagged state and the exogenous terms. In any case, Jack is the expert in this area of gretl. HTH, sven _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users