Dear Sven,

Thanks a lot for your attention.

What you've commented makes a lot of sense to me. So actually, I would have a vector of Time Varying Coefficients (that would be my exogenous variables), and a vector of unitary constants, being added to the State?

In any case, I'd be very happy if Jack could help me out.

Thanks in advance,

Fernando

2015-08-21 11:18 GMT-03:00 Sven Schreiber <svetosch@gmx.net>:

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@lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users