Re: [Gretl-users] Kalman filter
On Mon, 27 Feb 2006, Arnaud Bervas wrote:
By chance, would there be anyone having developed a Kalman
filtering program with Gretl ? I imagine that such a program might
be developed with Gretl and I would be interested in having a look
at an example.
There have been some requests/suggestions/questions regarding this
in the past.
To my knowledge, nobody has done anything along these lines yet,
although as Jack has said, the new matrix manipulation facility in
(not-yet-released) gretl 1.5.1 makes this possible, if not exactly
easy.
I've recently got interested in the subject, partly because it seems
to offer a systematic way of offering Exact Maximum Likelihood
estimation of ARIMA models within gretl. It's possible we'll add
the Kalman filter before too long, but probably not in the next
(overdue!) release.
Allin Cottrell