[Gretl-users] Re: State space modelling
Am 01.12.2020 um 15:58 schrieb bjr.newmail(a)gmail.com:
I wanted to estimate a model with a time varying parameter (on a
simple linear trend) and would appreciate some guidance as I am not a programmer in
Gretl's language.
1) Where in the GUI Model set of commands do you access the State Space modelling - is by
writing the spec in the MLE option?
2) I loaded the example file AWM.gdt
3)Entered the commands below exactly as specified in the manual viz. Listing 34.4:
Phillips curve on Euro data with time-varying slope
4) It died at the first line.
Hi, I copied and pasted the code from your email and it runs fine here.
Please provide more details about the error message you're getting and
your gretl version etc.
As for your general question: AFAIK there is currently no GUI access to
the general state-space framework yet, given the complexity involved.
For certain special cases the contributed package StrucTiSM offers a GUI
access, among which the local level, the local linear trend, and the
so-called basic structural models. Don't know if it really covers what
you're looking for, though.
cheers
sven