Am 22.05.2024 um 21:36 schrieb Alecos Papadopoulos: This comment is not directly about your syntax question, but interval constraints like this can also be imposed indirectly. A typical way of doing that is to map the parameter to the unit interval by using a CDF like the standard normal or so. Of course, the bounds of the interval can be adjusted as well. Sorry if this is beside the point, but I thought it wouldn't hurt to mention it. Again, not directly about your question, but it is allowed to call user-defined functions in an mle block. So you can define your own function that takes the relevant series and parameters, and spits out either a scalar result or perhaps also another series which may also contain missings. This approach is much more flexible than using a single conditional statement, so I guess it could help solve your problem. cheers sven

Thanks Allin - and thanks Sven for the earlier e-mail. I am fully covered. Alecos Papadopoulos PhD Affiliate Researcher Dpt of Economics, Athens University of Economics and Business Foundation for Economic and Industrial Research (IOBE) web: alecospapadopoulos.wordpress.com/ ORCID:0000-0003-2441-4550 On 22/5/2024 23:14, Cottrell, Allin wrote: > On Wed, May 22, 2024 at 3:36 PM Alecos Papadopoulos <papadopalex(a)aueb.gr&gt; wrote: >> 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?) > Yes, that would be an issue in the setup as given above, but it could > be circumvented by > > mle logl (ERR || CHECK == 0)? NA : kb.llt > > or, if you prefer, make the NA condition "(ERR || !CHECK)". However, > if you want to limit a parameter to (0,1) a more standard approach > would be to use a transformation that maps from (-inf, +inf) onto > (0,1) -- for example cnorm(). > > Allin Cottrell > _______________________________________________ > Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it > To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it > Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/