[Gretl-users] Kalman Filter

Attached you will find a script that applies a Hodrick-Prescott filter by means of a Kalman filter. I hope in future versions of gretl the "function" command can accept matrices as parameters, so this will do easier to apply the KF. We could advance then in programming, for example, Maximum Likelihood trough "prediction error decomposition" and then Structural Time Series Models. -- Ignacio Díaz-Emparanza Dpto. de Economía Aplicada III (Econometría y Estadística) UPV-EHU