[Gretl-users] Re: State space with three time-variant coefficients
Am 08.10.2021 um 14:22 schrieb Riccardo (Jack) Lucchetti:
On Fri, 8 Oct 2021, Sven Schreiber wrote:
> Am 08.10.2021 um 13:44 schrieb Riccardo (Jack) Lucchetti:
>> In that example, F is set to 1 because it is passed as an
argument to
>> ksetup(), and is never changed.
>
> Ah of course, that makes sense!
> One follow-up question though: What about the line with B.depvar
=
> {INFQ}? A search for "depvar" in the state-space chapter doesn't turn
up
> anything useful. And isn't the first arg to ksetup() already specifying
> that?
A Kalman bundle can have extra keys, apart from the "special" ones such
as statevar, obsymat, etc. In that example depvar is used to have an
object you can subtract b0 from, just for convenience.
Hm, OK. In that example it's not really needed to store it in the bundle
though, AFAICS, which makes it a little more confusing.
I think ch. 36 should have an encompassing table listing all the
reserved keys for a Kalman bundle. Currently there are at least five
places where some of them are mentioned.
thanks
sven