Hi George,

I plan to (for dynare>=4.3) entirely rewrite the kalman filter routines (matlab codes) to allow for unexpected structural breaks. I use Slicot because this library provides a lot of utilities for handling state space models and evaluating kalman filters. For instance, I use a solver for the discrete Riccatti equations, and use the solution for initializing the kalman filter. This gives a much more stable evaluation of the likelihood (also the evaluation is much faster). This evaluation is biased but its variance is smaller. As a first approximation (for large models) I use this trick when looking for the posterior mode (or maximum likelihood). This gives a very good initial guess when estimating the posterior mode. I will also use the library to reduce the size of the state space model and for comparison purposes.

Best, Stéphane.

George Perendia george@perendia.orangehome.co.uk writes:

Hi Stephane From the email below I gather you are planning to use SLICOT for some work with KF. I was just intrigued and wandered if you can shed me some light on that or send me some existing paper-work if poss and you have a moment for that.

Best regards George

-------- Original Message -------- Subject: Re: SLICOT Library Date: Mon, 13 Dec 2010 10:24:07 +0100 From: Sébastien Villemot sebastien.villemot@ens.fr To: George Perendia george@perendia.orangehome.co.uk

George Perendia george@perendia.orangehome.co.uk writes:

...

I noticed a new sub-directory of Dynare mex files - SLICOT Library. What is going to be the main use of the control system SLICOT Library within Dynare that is in mex slicot directory and how will it be accessed? Are there any wiki pages on it?

SLICOT is a multi-purpose optimal control library written in Fortran, see http://www.slicot.org/

Stéphane is now using it in some extensions of the Kalman filter. If you want more details on that, please ask him directly.

We included it in Dynare distribution (instead of simply making Dynare depend on it), because there is no pre-packaged version of this library (neither in Debian/Ubuntu nor in Cygwin).

Best,