options crt limwarn=0 ;
?
? Bootstrapping a variance for the transition equation
? in Kalman filter estimation.
?
?   TSP 4.2A (Oct 1992)
?   Author:  Clint Cummins
?
set t=100; set k=3; set kp1=k+1;   ? 3 rhs variables.
smpl 1,t;
?
? Make a synthetic data sample.
?
random e ; 
load(nrow=2,type=sym) xvar ; 1 .3 1 ;
random(vcov=xvar) x1 x2 ;
y = 1 + x1 -.5*x2 + e ;
kalman(noetrans) y c x1 x2;
unmake @state b1-b3;
smpl kp1,t;             ? skip variance of priors (0)
dot 1-3;
  d. = b. - b.(-1);     ? first difference of state vector
enddot;
cova d1-d3;             ? variance of first diff.
mat vtos = @cova/@s2;   ? divide by sigma-squared
kalman(vtrans=vtos) y c x1 x2;
stop ; end ;