[Gretl-users] Re: Kalman and MLE issue
On Mon, 30 Dec 2019, Alecos Papadopoulos wrote:
I am trying to estimate the parameters of a model that also has
latent state
variables, using the Kalman filter and maximum likelihood.
After setting up the filter, which I run and it appears to work fine on its
own (i.e treating the parameters fixed to their initial values), I follow the
example script in p. 313 of User's guide, where the mle command line is
mle logl = ERR ? NA : kb.llt (where "kb" is the name of the Kalman
bundle)
and inside the mle command we see
ERR = kfilter(&kb)
I wrote the same syntax but using "ksmooth" instead of "kfilter".
I get the message
"llt": no such item
The formula 'logl = ERR ? NA : kb.llt'
produced an error on execution
You need a forward pass (kfilter) to get the loglikelihood. The
backward pass (ksmooth) gives you smoothed estimates of the state
and its variance after filtering.
Allin