[Gretl-users] Re: State space with three time-variant coefficients
On Fri, 8 Oct 2021, Sven Schreiber wrote:
As explained below equation (36.5), what the listing 36.4 does is to
treat the time-varying coefficent as the latent state, using the
(apparently implicit) default of F == 1 == statemat.
(@jack: It seems that that default for statemat is not documented. If
there is no such default, then I don't know what's going on.)
In that example, F is set to 1 because it is passed as an argument to
ksetup(), and is never changed.
-------------------------------------------------------
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
-------------------------------------------------------