[Gretl-users] problem with kalman filter

I have run the following script for local linear model with quarterly seasonality: scalar r = 10 scalar s1=1 scalar s2=1 scalar s3=1 matrix z = {1; 0; 1; 0; 0} 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} matrix T = {1, 1, 0, 0, 0; 0, 1, 0, 0, 0; 0, 0, -1, -1, -1; 0, 0, 1, 0, 0; 0, 0, 0, 1, 0} 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 The model is a local linear model with quarterly seasonal. But, I get the following error: *failed to invert OPG matrix GG'* Where is the error? In the initial values of r, s1,..., in the script, or in kfilter()? Best regards, Paolo -- Paolo Chirico Statistica Economica Dipartimento di Economia "S. Cognetti de Martiis" Università di Torino