[Gretl-users] Re: Question about the Kalman Filter - MLE combination

When we combine the Kalman Filter with the mle command, we use the "kfilter" or the "ksmooth" function as a success/failure check for KF, and if we're good, we tell the mle to have a look at the series with the likelihood contributions, and proceed with parameter estimation. We automate this by using a conditional statement on the mle line itself (as shown e.g. in the user guide, p. 362). In no-KF mle, this conditional statement is often used to impose constraints on the parameters (like positivity of variances). I understand that simple non-negative constraints can be imposed in other indirect ways, but I have to impose bounds on the estimated parameters like "0<alpha<1". So can I somehow combine the naked mle "check" syntax with the KF-success syntax into one, say <hansl> mle logl ERR && CHECK ? NA : kb.llt .... ERR = kfilter(&kb) scalar CHECK = (alpha>0) && (alpha<1) params alpha end mle </hansl> ...or do I need something more elaborate? (maybe there is an issue with the fact that good news for ERR is when ERR=0 while good news for CHECK is when CHECK = 1, if I understand correctly?)