[Gretl-users] Re: State space modelling

Hi again Sven perhaps I am being dim and most probably a pain! . Basically I am interested determining the time varying trend parameter in a simple trend relationship as in 36.4 [image: image.png] where in the Script below y =Severnadj and x = Year. I created and entered a new variable Year as the time trend time variable generated by Gretl failed to work in an earlier run. However MLE fails to recognize Year in the script entered. The datafile loads correctly, mean of Severadj is correct. Where am I going wrong.? Script entered. __________________________________________ function void at_each_step(bundle *b) b.obsymat = transp(b.mX[b.t,]) end function open WELSHEGGSCL.gdt --quiet smpl 2002 2019 /* parameter initialization */ scalar b0 = mean(Severnadj) scalar s_obs = 0.1 scalar s_state = 0.1 /* bundle setup */ bundle B = ksetup(Severnadj, 1, 1, 1) matrix B.mX = {Year} matrix B.depvar = {Severnadj} B.timevar_call = "at_each_step" B.diffuse = 1 /* ML estimation of intercept and the two variances */ mle LL = err ? NA : B.llt B.obsy = B.depvar - b0 B.obsvar = s_obs^2 B.statevar = s_state^2 err = kfilter(&B) params b0 s_obs s_state end mle /* display the smoothed time-varying slope */ ksmooth(&B) series tvar_b1hat = B.state[,1] series tvar_b1se = sqrt(B.stvar[,1]) gnuplot tvar_b1hat --time-series --with-lines --output=display \ --band=tvar_b1hat,tvar_b1se,1.96 --band-style=fill ___________________________________________________________ Final error messages from log :- /* parameter initialization */ ? scalar b0 = mean(Severnadj) Generated scalar b0 = 9.84213 ? scalar s_obs = 0.1 Generated scalar s_obs = 0.1 ? scalar s_state = 0.1 Generated scalar s_state = 0.1 /* bundle setup */ ? bundle B = ksetup(Severnadj, 1, 1, 1) ? matrix B.mX = {Year} The symbol 'Year' is undefined Error executing script: halting cheers Brian On Tue, 1 Dec 2020 at 17:10, Sven Schreiber <svetosch(a)gmx.net&gt; wrote: