[Gretl-users] Re: State space modelling

Hi Sven progress - I have managed to get the Script to run with *time *as indep var -but MLE crashes on reaching max 500 interations . It didn't like the year variable I defined in an earlier run eg 2002, 2003 I think because it was a large magnitude different eg 10^3 to the dependent variable. So is there a way to increase the max no. of iterations in the MLE routine? see below for output.. ? function void at_each_step(bundle *b) ? open WELSHEGGSCL.gdt --quiet Read datafile C:\Users\Brian\Documents\gretl\WELSHEGGSCL.gdt ? smpl 2002 2019 Full data range: 2002 - 2024 (n = 23) Current sample: 2002 - 2019 (n = 18) /* parameter initialization */ ? scalar b0 = mean(Severnadj) Generated scalar b0 = 9.84213 ? scalar s_obs = 0.1 Generated scalar s_obs = 0.1 ? scalar s_state = 0.1 Generated scalar s_state = 0.1 /* bundle setup */ ? bundle B = ksetup(Severnadj, 1, 1, 1) ? matrix B.mX = {time} ? matrix B.depvar = {Severnadj} ? B.timevar_call = "at_each_step" ? B.diffuse = 1 /* ML estimation of intercept and the two variances */ ? mle LL = err ? NA : B.llt ? B.obsy = B.depvar - b0 ? B.obsvar = s_obs^2 ? B.statevar = s_state^2 ? err = kfilter(&B) ? params b0 s_obs s_state ? end mle Using numerical derivatives Tolerance = 1.81899e-012 *Reached the maximum iterations (500)* Error executing script: halting On Tue, 1 Dec 2020 at 17:10, Sven Schreiber <svetosch(a)gmx.net&gt; wrote: