ssControlCreate¶

Purpose¶

Creates default ssControl structure.

Format¶

ssCtl = ssControlCreate(k_states, k_endog[, k_posdef])¶

Parameters:

k_states (Scalar) – Number of states.
k_endog (Scalar) – Number of endogenous variables.
k_posdef (Scalar) – Optional argument, the dimension of the state innovation with a positive definite covariance matrix.

Returns:

ssCtl (Struct) –

Instance of ssControl struct with members set to default values. For an instance named ssCtl, the members are:

ssCtl.param_names String array, parameter names.

ssCtl.stationary_vars Vector, specifies the index of the variables which should be constrained stationary.

ssCtl.positive_vars Vector, specifies the index of the variables which should be constrained positive.

ssCtl.ctl Instance of a cmlmtControl structure, used for fine-tuning maximum likelihood estimation. Further information provided in the cmlmt documentation.

ssCtl.ssm

Instance of a ssModel structure, contains the state space system matrices used in the kalmanFilter(). Contains the following members:

ssm.Z	k_endog x k_states, transition matrix.
ssm.d	k_endog x 1, observation intercept.
ssm.H	k_endog x k_endog, observation disturbance covariance.
ssm.T	k_states x k_states, design matrix.
ssm.c	k_states x k_states, state intercept.
ssm.R	k_states x k_posdef, selection matrix.
ssm.Q	k_states x k_posdef, state disturbance covariance.
ssm.a_0	k_states x 1, initial prior state mean.
ssm.p_0	k_states x k_states, initial prior state covariance.

Examples¶

Since structures are strongly typed in GAUSS, each structure must be declared before it can be used.

// Declare 'ssCtl' as an ssControl structure
struct ssControl ssCtl;

/*
** Model dimensions
*/
// Number of endogenous variables
k_endog = 1;

// Number of states
k_states = 2;

// Initialize structure 'ssCtl'
ssCtl = ssControlCreate(k_states, k_endog);

Source¶

ssmain.src