[Gretl-users] state space negative standard deviation

Dear community, I was trying to estimate state space models and I came to the point where I have negative coefficients for standard deviation parameters. Eviews, for example, requires these parameters to be specified as var=exp(c), eventually to avoid this. Is there a very simple way in the code to avoid these negative sigmas? Here follows the arma.gdt example from the manual with a subtle adaptation near the end made by me to lead to a negative sigma coefficient: <hansl> function void arma11_via_kalman (series y) /* parameter initialization */ scalar phi = 0 scalar theta = 0 scalar sigma = 0.1 /* state-space model setup */ matrix H = {1; theta} matrix F = {phi, 0; 1, 0} matrix Q = {sigma^2, 0; 0, 0} bundle kb = ksetup(y, H, F, Q) /* maximum likelihood estimation */ mle logl = ERR ? NA : kb.llt kb.obsymat[2] = theta kb.statemat[1,1] = phi kb.statevar[1,1] = sigma^2 ERR = kfilter(&kb) params phi theta sigma end mle --hessian end function # ------------------------ main --------------------------- open arma.gdt # open the "arma" example dataset z = log(abs(y)) arma11_via_kalman(z) # estimate an arma(1,1) model </hansl> Many thanks. Regards, Filipe Costa