Hello, I'm new to Gretl, and while I think I've picked things up
pretty quickly I'm stumped with what is probably a simple problem for
regular users. When I execute the muhat function in script below I get
a "Data types not conformable for operation" error message. It
appears that the second function doesn't like the matrix reference
arguments, but I don't see why that would be a problem. I've searched
the archives for similar problems but haven't found a solution to my
problem. (FYI I'm running Gretl 1.8.4 on an XP machine.) Your help
would be greatly appreciated.
Script:
function matrix local_level (series y)
/* starting values */
scalar s1 = 1
scalar s2 = 1
/* set up Kalman matrices */
matrix H = {1 ; 1}
matrix F = {1, 0 ; 0, 0.97}
matrix Q = {s1, 0 ; 0, s2}
/* Kalman filter set-up */
kalman
obsy y
obsymat H
statemat F
statevar Q
end kalman --diffuse
/* ML estimation */
mle ll = ERR ? NA : $kalman_llt
Q[1,1] = s1
Q[2,2] = s2
ERR = kfilter()
params s1 s2
end mle
return s1 ~ s2
end function
function list loclev_sm (series y, scalar s1, scalar s2)
kalman
obsy y
obsymat H
statemat F
statevar Q
end kalman --diffuse
matrix ret = ksmooth()
series wt = ret[,1]
series xt = ret[,2]
list components = wt xt
return components */
end function
/* -------------------- execute -------------------- */
matrix Vars = local_level(y)
list muhat = loclev_sm(y, Vars[,1], Vars[,2])
Output:
gretl version 1.8.4
Current session: 2009-09-18 20:25
? function matrix local_level (series y)
> /* starting values */
> scalar s1 = 1
> scalar s2 = 1
> /* set up Kalman matrices */
> matrix H = {1 ; 1}
> matrix F = {1, 0 ; 0, 0.97}
> matrix Q = {s1, 0 ; 0, s2}
> /* Kalman filter set-up */
> kalman
> obsy y
> obsymat H
> statemat F
> statevar Q
> end kalman --diffuse
> /* ML estimation */
> mle ll = ERR ? NA : $kalman_llt
> Q[1,1] = s1
> Q[2,2] = s2
> ERR = kfilter()
> params s1 s2
> end mle
> return s1 ~ s2
> end function
? function list loclev_sm (series y, scalar s1, scalar s2)
> kalman
> obsy y
> obsymat H
> statemat F
> statevar Q
> end kalman --diffuse
> matrix ret = ksmooth()
> series wt = ret[,1]
> series xt = ret[,2]
> list components = wt xt
> return components */
> end function
/* -------------------- execute -------------------- */
? matrix Vars = local_level(y)
Using numerical derivatives
Tolerance = 1.81899e-012
Function evaluations: 67
Evaluations of gradient: 15
Model 1: ML, using observations 2001:10-2009:06 (T = 93)
ll = ERR ? NA : $kalman_llt
Standard errors based on Outer Products matrix
estimate std. error t-ratio p-value
----------------------------------------------------
s1 4.08513 16.8057 0.2431 0.8079
s2 4.12376 16.5388 0.2493 0.8031
Log-likelihood -241.2759 Akaike criterion 486.5518
Schwarz criterion 491.6170 Hannan-Quinn 488.5970
Generated matrix Vars
? list muhat = loclev_sm(y, Vars[,1], Vars[,2])
Data types not conformable for operation
Error executing script: halting
> list muhat = loclev_sm(y, Vars[,1], Vars[,2])
