Re: [Gretl-devel] moving averages
On Thursday 26 April 2007 18:00:48 Marco Marini wrote:
Hi,
I was looking for a way to apply moving average filters to a time series.
To my understanding there isn't a built-in function in gretl, so I would
like
to know whether some user has already developed it.
If not, I think I will write a user function (I need it to show its
properties to my students).
In this case, I would like to know whether is available the convolution
function in gretl,
which is very helpful to combine filters. Any suggestion is obviously
welcome!
Some MA filters are under the /Variable/filters menu.
I would also like to have a more general MA filter, for example a command that
allows to do (in Latex language)
X_t= (1-\theta_1 L-\theta_2 L^2) Y_t
and (the convolution filter)
X_t = Y_t / (1-\theta_1 L -\theta_2 L^2)
--
Ignacio Diaz-Emparanza
DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA)
UPV/EHU
Avda. Lehendakario Aguirre, 83 | 48015 BILBAO
T.: +34 946013732 | F.: +34 946013754
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