Re: [Gretl-users] gretl development news
On Wed, 12 Apr 2006, I wrote:
1) Up till now, we've had conditional ML estimation of ARIMA
models in "native" gretl code, but exact ML has been farmed out to
x-12-arima and TRAMO/SEATS. Well, now we have native exact ML
using the Kalman filter. The Kalman filter is now accessible via
the C-language API of libgretl. I haven't yet attempted to make
it accessible via script commands: the interface will necessarily
be quite complicated.
Sorry, I wasn't very clear here. Estimation of ARIMA models using
the Kalman filter is available to users OK. In the GUI program, you
select the "Exact ML" option in the ARIMA dialog box. In a script,
this is the default at present, and if you want conditional ML
estimation using th BHHH method, you append the "--conditional"
option flag to the arma/arima command.
What is not yet available via script commands is the Kalman filter
itself, in its full generality.
Allin Cottrell