On page 349 of gretl's user guide the state space model is
defined as
[Just to be clear for anybody else on this list, this is just the basic first formulation, not the most general form that gretl supports.]On page 349 of gretl's user guide the state space model is defined as
Later, when presenting the state-space GUI (p. 369) we read that it supports models of the form
My only question is about the time indices on the state vector in the transition equation.
Yeah, that's a good question. My guess would be that the latter representation is shifted relative to gretl's convention, but I'm not really sure. @jack, can you comment?
cheers
sven