[Gretl-users] Re: State space modelling

Am 02.12.2020 um 17:04 schrieb Brian Revell: Yes, previously you said you had created the variable "Year", but it was unknown to gretl so I'm not sure what you did. In a time-series dataset you can use the generic predefined special variable "time" as you did, or if you want to really aim for the year for example also in a quarterly or monthly dataset you could grab the series dollar-style accessor "$obsmajor" (see the function reference for the dollar accessors). In principle you can manipulate that via a line such as "set bfgs_maxiter 1000". See the doc for the "set" command. The background is that MLE in gretl uses the BFGS optimizer (don't know right now if this is mentioned in the guide, but it is in the "set" help). However... you have a pretty small sample. This is probably not large enough to work with time-varying stuff and expect reasonably identified results. This could also explain the convergence problems (among other reasons). So I wouldn't be surprised if increasing the iterations doesn't help. But you might as well try. cheers sven