On Tue, February 28, 2006 05:15, Allin Cottrell wrote:
On Mon, 27 Feb 2006, Arnaud Bervas wrote:
> By chance, would there be anyone having developed a Kalman
> filtering program with Gretl ? I imagine that such a program might
> be developed with Gretl and I would be interested in having a look
> at an example.
There have been some requests/suggestions/questions regarding this
in the past.
To my knowledge, nobody has done anything along these lines yet,
although as Jack has said, the new matrix manipulation facility in
(not-yet-released) gretl 1.5.1 makes this possible, if not exactly
This is not exactly what you want, but it's a start. Very incomplete,
certainly suboptimal, probably buggy. Attached you'll find a script file which
implements recursive OLS estimation (which, as you know, is a special case of
Kalman filtering) plus a usage example. Just to give you an idea on what it
could look like.
Riccardo "Jack" Lucchetti
Dipartimento di Economia
Facoltà di Economia "G. Fuà"