29.0 KFILTER Command                                                            
                                                                                
     The KFILTER command can be used to solve and forecast with a Kalman        
Filter or State Space Model with up to ten series. Basic references are:        
                                                                                
     -  Aoki, Masano, "State Space Modeling of Time Series,"                    
        Springer-Verlag, New York 1987.                                         
                                                                                
     -  Harvey, A. C. "The Economic Analysis of Time Series,",                  
        New York: John Wiley (1981)                                             
                                                                                
     -  Harvey, A. C. "Time Series Models,", New York: John Wiley (1981)        
                                                                                
Form of KFILTER command.                                                        
                                                                                
    B34SEXEC KFILTER $                                                          
        SERIESN VAR=Xvar1  DIFF=n1 LOGS$                                        
        ESTIMATE options parameters$                                            
        B34SEEND$                                                               
                                                                                
     The SERIESN and ESTIMATE sentences are required.                           
                                                                                
KFILTER sentence parameters.                                                    
                                                                                
     IBEGIN=n1   Sets beginning observation. Defaults to 1.                     
                                                                                
     IEND=n2     Sets ending observation. Defaults to NOOB.                     
                                                                                
SERIESN sentence.                                                               
                                                                                
     The SERIESN sentence is used to input the series. It is recommended        
that the "most exogenous" series be listed first. There can be up to 10         
SERIESN sentences. The parameter VAR is required.                               
                                                                                
     Options on SERIESN sentence.                                               
                                                                                
        LOGS   -  If present will take natural logs of the data.                
                                                                                
     Paramaters on SERIESN sentence.                                            
                                                                                
        VAR = Xvar   Inputs the variable.                                       
                                                                                
        DIFF=n1      Will form newY = Y(t) - Y(t-n1).                           
                                                                                
ESTIMATE sentence.                                                              
                                                                                
     The ESTIMATE sentence controls the estimation of of the Kalman             
Filter (State Space) Model.                                                     
                                                                                
ESTIMATE sentence options.                                                      
                                                                                
          IORGS    -  Turns on a print of original data.                        
                                                                                
          INEWS    -  Turns on a print of the data with means                   
                      subtracted.                                               
                                                                                
          IRES     -  Turns on print of residuals.                              
                                                                                
          INSFOR   -  Turns on print of in sample forecast.                     
                                                                                
          IPRED    -  Turns on print of in sample forecast of                   
                      transformed data.  This is usually not needed.            
                      Use ires and insfor.                                      
                                                                                
          IHANKL   -  Turns on print of hankle and associated matrices.         
                                                                                
          GEIGENV  -  Turns on print of eigenvector matrix.                     
                                                                                
          GUMATRIX -  Turns on print of U matrix.                               
                                                                                
          GAMATRIX -  Turns on print of A matrix.                               
                                                                                
          FORECAST -  Requests 23 out of sample forecasts.                      
                                                                                
          IOLDD    -  If sets, calls original EIGEN routine.  This              
                      option is not recmmmended since EISPACK (the              
                      default routines used are TRED2 and IMTQ2) is more        
                      accurate to decompose the henkle matrix.                  
                                                                                
ESTIMATE sentence parameters.                                                   
                                                                                
          K=n1       -  Sets number of lags on Hankel Matrix. Default=6.        
                                                                                
          NSTAR=n2   -  Dimension of state vector. Default = 1.                 
                                                                                
          MXITER=n3  -  Sets maximum number of iterations. Default=500.         
                        It is imperative to experiment with lower values        
                        of MXITER since the recursive riccati solution          
                        may be unstable for large values of MXITER. In          
                        addition, on different platforms, accuracy              
                        differences will make quite a difference. The           
                        used should be guided by the sum of squares             
                        before and after and the percentage reduction.          
                                                                                
          EPS=r1     -  Step size. Default = .05. If there are                  
                        convergence problems solving the riccati                
                        equation, try lower values of EPS.                      
                                                                                
                                                                                
Notes:  In additon to experimenting with MXITER, various values of K and        
        NSTAR should be tried. Higher values of MXITER can be used with         
        lower step sizes. If NSTAR and K are set too large overflows            
        can occure, especially if real*16 add or real*16 mult is in             
        effect.                                                                 
                                                                                
Sample job.                                                                     
                                                                                
    b34sexec kfilter$                                                           
       seriesn var=y diff=1$                                                    
       estimate k=15 nstar=10 forecast ihankl$                                  
       b34seend$