Dear All,
I have a problem with running a VAR: i selected three
endogenous variables and one dummy as exogenous, 8 lags chosen by lag
selection option, with constant, trend and robust error options
selected, but gretl is saying to me matrix is no positive definite: how
can I sort this issue out?
Thanks
Regards
Mirko
----Messaggio
originale----
Da: paolo.chirico(a)unito.it
Data: 30/05/2012 10.57
A:
"Gretl list"<gretl-users(a)lists.wfu.edu>
Ogg: Re: [Gretl-users] problem
with kalman filter
Il 29/05/2012 18.39, Allin Cottrell ha scritto:
>
On Tue, 29 May 2012, Paolo Chirico wrote:
>
>> I have run the following
script for local linear model with quarterly
>> seasonality:
> [snip]
>
> you define a matrix Q:
>
> matrix Q = {s1^2, 0, 0, 0, 0; \
> 0, s2^2, 0, 0, 0; \
> 0, 0, s3^2, 0, 0; \
> 0, 0, 0, 0, 0; \
> 0, 0, 0, 0, 0}
>
>
Then you do:
>
>> kalman
>> obsy y
>> obsymat z
>> statemat
T
>> obsvar r
>> statevar Q
>> end kalman --diffuse
>>
>> mle
ll = ERR ? NA : $kalman_llt
>> ERR = kfilter()
>> params r s1
s2 s3
>> end mle
> mle is spinning its wheels: you haven't provided any
means of
> updating your Q matrix based on the current values of s1, s2
and s3.
> You need to insert, just before the call to kfilter()
>
> Q[1,1] = s1^2
> Q[2,2] = s2^2
> Q[3,3] = s3^2
>
> (There may be other problems but that's the most obvious one.)
>
>
Allin Cottrell
> _______________________________________________
>
Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu
> http://lists.wfu.
edu/mailman/listinfo/gretl-users
>
>
You are right.
I have corrected
the script and now it' ok.
Thanks
Paolo
--
Paolo Chirico
Ricercatore e Professore Aggregato
di Statistica Economica
Università
di Torino
Via Maria Vittoria, 38
10123 Torino (Italy)
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