De Jong's diffuse approach - Gretl-users - gretlml.univpm.it

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De Jong's diffuse approach

gretl4py 0.31 released

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Paolo Chirico

Friday, 17 October 2025 Fri, 17 Oct '25

3:08 p.m.

Hi all, I'm not sure which script is correct for De Jong's diffuse approach. For example, for De Jong's exact diffuse, which of the following is correct? A) SSMod.diffuse=2 SSMod.dejong=1 B) SSMod.diffuse=2 --dejong=1 Or neither, but which? Thanks, Paolo

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Sven Schreiber

Friday, 17 October Fri, 17 Oct

4:04 p.m.

Am 17.10.2025 um 17:08 schrieb Paolo Chirico:

Hi all, I'm not sure which script is correct for De Jong's diffuse approach. For example, for De Jong's exact diffuse, which of the following is correct? A) SSMod.diffuse=2 SSMod.dejong=1 B) SSMod.diffuse=2 --dejong=1

Hi Paolo, the user guide in section 36.8 says "...by adding sequential=1 or dejong=1 to the bundle", so to me that sounds like your option A. Are you having trouble with it? (BTW, option B does not look like valid syntax in any case, because the double-dash options only apply to gretl "commands", not to assignments like this one.) cheers sven

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Cottrell, Allin

Saturday, 18 October Sat, 18 Oct

6:54 p.m.

On Fri, Oct 17, 2025 at 11:08 AM Paolo Chirico <paolo.chirico(a)uniupo.it> wrote:

Hi all, I'm not sure which script is correct for De Jong's diffuse approach. For example, for De Jong's exact diffuse, which of the following is correct? A) SSMod.diffuse=2 SSMod.dejong=1

A) is it, exactly. See the discussion of Table 36.1 in the State Space chapter of the Guide. Allin

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Paolo Chirico

Tuesday, 21 October Tue, 21 Oct

2:12 p.m.

Allin, Sven, sorry if I'm only replying to your emails now, but I wanted to do some tests. Actually, I was quite sure that the right way is: SSmod.diffuse=2 SSmod.dejong=1 but there's nothing in the output to confirm this setting. Given a diffuse set value (1 or 2), the estimation results practically does not change if you use the dejong or sequential approaches. Finally, I'm not clear on the difference between SSmod.diffuse=1 + SSmod.dejong=1 and simply SSmod.diffuse=1. Thanks, Paolo P.S. I noticed something rather curious: when I added "SSmod.dejong=1" to the "SSmod" bundle, the "dejong=1" scalar didn't appear there, but "sequential=0" instead! Il 18/10/2025 20:54, Cottrell, Allin ha scritto:

On Fri, Oct 17, 2025 at 11:08 AM Paolo Chirico <paolo.chirico(a)uniupo.it> wrote: > Hi all, > I'm not sure which script is correct for De Jong's diffuse approach. > For example, for De Jong's exact diffuse, which of the following is correct? > A) SSMod.diffuse=2 > SSMod.dejong=1 A) is it, exactly. See the discussion of Table 36.1 in the State Space chapter of the Guide. Allin _______________________________________________ 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/

-- Paolo Chirico RU e Prof.Agg. di Statistica Economica Università del Piemonte Orientale Dip. di Giurisprudenza e Scienze Politiche, Economiche e Sociali (DIGSPES) Alessandria, Italia

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Cottrell, Allin
Paolo Chirico
Sven Schreiber