Re: [Gretl-users] new Kalman interface
On Tue, 28 Jun 2016, Paolo Chirico wrote:
Dear Sven,
I've tried the example 30.2: I've copied and pasted (and run) the script
30.2.
I've recived the following error message: "Data types not conformable for
operation"
Actually the same message arised with other data.
Where is the problem?
Do you mean the local level model example? I'm posting it here for
clarity:
<hansl>
nulldata 200
set seed 101010
setobs 1 1 --special-time-series
/* set the true variance parameters */
true_s1 = 0.5
true_s2 = 0.25
/* and simulate some data */
v = normal() * sqrt(true_s1)
w = normal() * sqrt(true_s2)
mu = 2 + cum(v)
y = mu + w
/* starting values for variance estimates */
s1 = 1
s2 = 1
/* state-space model set-up */
bundle kb = ksetup(y, 1, 1, s1)
kb.obsvar = s2
kb.diffuse = 1
/* ML estimation of variances */
mle ll = ERR ? NA : kb.llt
ERR = kfilter(&kb)
params kb.statevar kb.obsvar
end mle
/* compute the smoothed state */
ksmooth(&kb)
series muhat = kb.state
</hansl>
This should run ok on the snapshots. Which is the instruction that
triggers the error?
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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