[Gretl-users] Re: State space with three time-variant coefficients

Am 08.10.2021 um 14:22 schrieb Riccardo (Jack) Lucchetti: > On Fri, 8 Oct 2021, Sven Schreiber wrote: > >> Am 08.10.2021 um 13:44 schrieb Riccardo (Jack) Lucchetti: >>> In that example, F is set to 1 because it is passed as an argument to >>> ksetup(), and is never changed. >> >> Ah of course, that makes sense! >> One follow-up question though: What about the line with B.depvar = >> {INFQ}? A search for "depvar" in the state-space chapter doesn't turn up >> anything useful. And isn't the first arg to ksetup() already specifying >> that? > > A Kalman bundle can have extra keys, apart from the "special" ones such > as statevar, obsymat, etc. In that example depvar is used to have an > object you can subtract b0 from, just for convenience. Hm, OK. In that example it's not really needed to store it in the bundle though, AFAICS, which makes it a little more confusing. I think ch. 36 should have an encompassing table listing all the reserved keys for a Kalman bundle. Currently there are at least five places where some of them are mentioned.