Hi all,
sorry to bring this up again, but there are a few things I don't understand:
1) If I set diffuse=2 and dejong=0, I expect the default method to be
sequential=1. Instead, into the filter bundle, I find:
/Kalman scalars:
t: 0
diffuse: 1 (not 2?)
exact: 0 (not 1?)
cross: 0
dkvar: 0
sequential: 0 (not 1?)/
If I set diffuse=2 and dejong=1, I find:
/Kalman scalars
t: 0
diffuse: 1 (not 2?)
exact: 0 (not 1?)
cross: 0
dkvar: 0
sequential: 0/
Moreover, if disturbances are not correlated (/cross=0/), settings
(diffuse=1, dejong=1) and (diffuse=2, dejong=1) produce same results as
well as (diffuse=1, dejong=0) and (diffuse=2, dejong=0) produce same
results.
On the other hand, if disturbances are correlated (/cross=1/),
(diffuse=2, dejong=1) provides better results (in terms of AIC, BIC,...)
than (diffuse=1, dejong=1).
However, in no case is diffuse=2 reported in the filter bundle!
Paolo