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
___________________________________________________________
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}
> B.mX = {Year}
The symbol 'Year' is undefined
Error executing script: halting
> matrix B.mX = {Year}