Matrices not conformable in Harvey Textbook examples

Discussion of State Space and Dynamic Stochastic General Equilibrium Models

Matrices not conformable in Harvey Textbook examples

Postby mgm » Mon Sep 03, 2012 4:50 pm

Dear Tom,

"## MAT3. Matrix with Dimensions 3 x 3 Involved in DLM-SW matrix Operation. Need 13x13 to match F"

This is the message i get when i run the Textbook Examples from "Harvey, "Forecasting, ..., Kalman Filter",
files harveyp082.prg and harveyp219.prg.

It comes after:
dlm(start=(sw=%%GlueSWBSM()),a=a,c=c,f=f,sv=sigsqeps,sw=sw,y=drivers,exact,$
type=filter,method=bfgs,vhat=vhat,svhat=svhat) * 1981:12 xfilter

It looks like sw is not comformable.

What can i do to make them run ok ?
I´m using RATS 7.10.

Thank you very much for your help.
Marcos
mgm
 
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Re: Matrices not conformable in Harvey Textbook examples

Postby TomDoan » Tue Sep 04, 2012 11:34 am

That seems to work with RATS 7.1 if you use the current LOCALDLM, SEASONALDLM and LOCALDLMINIT procedures. There were many revisions to the DLM instruction and the state-space procedures in version 7.3 and your problems may be due to some odd combination of the software and the procedure files.
TomDoan
 
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