Re: [Gretl-devel] ARMA Interpolation

On Thu, 15 May 2014, GOO Creations wrote: > Hi, > > I'm not sure if this is possible in gretl. I want to interpolate a gap > of samples with ARMA by using the value to the left and right of the > gap. If I have data like this: > > Time lag: 1 2 3 4 5 6 7 8 9 10 11 > Values: 0 0.1 0.2 0.3 * * * 0.3 0.2 > 0.1 0 > > The values marked with a star are the gap I want to interpolate (at lag > 5, 6 and 7: the values should be something like 0.4, 0.5, 0.4 after > interpolation). How would you go about creating a gretl DATASET with > these values? And will the get_forecast function work on "predicting" > the interpolated samples? > I've always used ARMA for out-of-sample forecasts, but never for > interpolation, so I'm not sure if this is possible. This is absolutely possible via an ARMA model. However, my advice would be to use a state space model and the Kalman filter, which provide a very flexible, natural and flexible framework for problems of this type. ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti ------------------------------------------------------- _______________________________________________ Gretl-devel mailing list Gretl-devel(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-devel