Re: [Gretl-users] problem with kalman filter

On Tue, 29 May 2012, Paolo Chirico wrote: > I have run the following script for local linear model with quarterly > seasonality: [snip] you define a matrix Q: matrix Q = {s1^2, 0, 0, 0, 0; \ 0, s2^2, 0, 0, 0; \ 0, 0, s3^2, 0, 0; \ 0, 0, 0, 0, 0; \ 0, 0, 0, 0, 0} Then you do: > kalman > obsy y > obsymat z > statemat T > obsvar r > statevar Q > end kalman --diffuse > > mle ll = ERR ? NA : $kalman_llt > ERR = kfilter() > params r s1 s2 s3 > end mle mle is spinning its wheels: you haven't provided any means of updating your Q matrix based on the current values of s1, s2 and s3. You need to insert, just before the call to kfilter() Q[1,1] = s1^2 Q[2,2] = s2^2 Q[3,3] = s3^2 (There may be other problems but that's the most obvious one.) Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users