[Gretl-users] Re: Kalman and MLE issue

My input as regards functionality here is the following: state-space modeling and the Kalman filter are often used also in models where the number of observations are relatively few, and the focus is on parameter/latent states estimation, rather than forecasting (like macroeconomoetric models that look to interpret the past). In such a setup, it may be preferable to obtain estimates based on the whole realized sample, i.e. use information retrospectively (this is why I used ksmooth in my model), since there is not much of it. So if there is a painless way to allow ksmooth to also run with mle, it would be a useful option. Thanks again Allin. Alecos Papadopoulos PhD Athens University of Economics and Business web: alecospapadopoulos.wordpress.com/ skype:alecos.papadopoulos On 30/12/2019 02:02, Allin Cottrell wrote: > On Mon, 30 Dec 2019, Alecos Papadopoulos wrote: > >> ok, thanks Allin. >> >> Maybe the following part in the User guide should be rephrased in >> some future version, Section 34.6, pp. 308, presenting the ksmooth thing >> >> <<On successful completion, */all the quantities/* computed by >> kfilter are available as bundle members >> (see section 34.5),...>> >> >> This is what gave me the impression that I could use ksmooth (this >> and the first sentence in p. 308 that says <<Note that since ksmooth >> starts with a forward pass, it can be run without a prior call to >> kfilter.>>) > > Good point. Looks like we need to correct something there, either in > the doc or the substance of what's going on. > > Jack -- any thoughts? (When you get back!) > > Allin > _______________________________________________ > Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it > To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it > Website: > https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/ >