Re: [Gretl-devel] ARMA developments
On Mon, 30 Apr 2018, Sven Schreiber wrote:
Am 30.04.2018 um 10:53 schrieb Riccardo (Jack) Lucchetti:
> On Mon, 30 Apr 2018, Sven Schreiber wrote:
>
>> But I tend to think there must be a more elegant and/or more efficient
>> way?
>
> I believe this is as efficient as you can get.
>
> <hansl>
> open fedstl.bin
> data unrate
> p = 3
> q = 2
> arma p q ; unrate
> m = $coeff[1]
> phi = $coeff[2:p+1]
> theta = $coeff[p+2:p+q+1]
> s = $sigma
> x = m + filter(s*normal(), 1|theta, phi)
> arma p q ; x
> </hansl>
Thanks, "filter" wasn't on my radar. Why don't you turn that into a
small
ARMAsimul function package?
Hm, why not. Perhaps in the next few days.
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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
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