[Gretl-devel] kalman filter status?

[Riccardo (Jack) Lucchetti]

On Wed, 7 May 2008, andreas.rosenblad at ltv.se wrote:

>
> svetosch at gmx.net @ INTERNET skrev 2008-04-28 12:52:49 :
>
>> Hi,
>>
>> I think I've asked about it before, but the "big" feature I'm
>> missing in gretl is the Kalman filter for state-space models.
>
> The "big" feature I am missing in gretl is quantile regression.

Both features are, at the moment, in the planning stage. My guess is that 
we'll release 1.7.5 quite soon to incorporate in the official version the 
bug fixes we've accumulated so far, plus a few extra features. If you look 
at the Changelog at http://gretl.sourceforge.net/ChangeLog.html, you'll 
see there's a hefty amount of stuff already.

What I'd like to have in before releasing 1.7.5 are

1) we're working on an "ODBC connector", which enables gretl to fetch data 
from DBMSes like Oracle, MySQL, Postgres etcetera. The basic 
infrastructure is already in CVS: the missing bits are (a) documentation 
(b) thorough testing (c) a reasonable GUI interface. IMO, chances are this 
can be done within the end of May and the ODBC facility (marked as 
"experimental") can be included in 1.7.5;

2) I haven't had time to look at geno's anova patch (sorry, geno!), but it 
seems likely that it shouldn't take long to incorporate it into CVS.

IMO, once this is done we may release 1.7.5 and concentrate on 
kalman + quantile regression (and more).


Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche

r.lucchetti at univpm.it
http://www.econ.univpm.it/lucchetti