[Gretl-users] Re: State space with three time-variant coefficients
Am 08.10.2021 um 14:39 schrieb Riccardo (Jack) Lucchetti:
On Fri, 8 Oct 2021, Sven Schreiber wrote:
> I think ch. 36 should have an encompassing table listing all the
> reserved keys for a Kalman bundle. Currently there are at least five
> places where some of them are mentioned.
Excellent idea.
OK -- as a first step, I simply printed out the bundle result of the
example script 36.5, and I was surprised how nicely structured and
commented the printout was!
<console>
? LLM.heyho = I(2)
? print LLM
bundle LLM:
Kalman input matrices
obsy: 100 x 1
obsymat: 1 x 1
obsvar: 1 x 1
statemat: 1 x 1
statevar: 1 x 1
Kalman output matrices
prederr: 100 x 1
pevar: 100 x 1
state: 100 x 1
stvar: 100 x 1
gain: 100 x 1
smdist: 100 x 2
smdisterr: 100 x 2
uhat: 1 x 1
Kalman scalars
t: 0
diffuse: 1
cross: 0
s2: 1.00125
lnl: -632.608
r: 1
n: 1
T: 100
p: 0
Other content
heyho (matrix: 2 x 2)
</console>
Are there other possible reserved Kalman keys which do not show up in
this particular example, or is this it?
Thanks
Sven