Re: [Gretl-devel] Getting ACF/PACF/XCF as a matrix
On Mon, 2 Feb 2009, Sven Schreiber wrote:
On 02.02.2009 20:55, Riccardo (Jack) Lucchetti wrote:
>
> We could actually drop the extra boolean parameter by using a trick
> similar to what we currently do for ADF: p>0 means autocorrelations, p<0
> means partial autocorrelations. Or would it be too arcane?
yes, FWIW I wouldn't like that very much
It's no big deal on my side; it was mainly an aesthetic thing: I don't
like very much having a string parameter dangling at the end. Also, the
positive/negative thing may simplify script writing.
I don't think case 2 is so unlikely, but if the ACF is computed
anyway
then sure you can spit it out as well
Yeah, in practice we would have the options "just acf"/"pacf too"
> One last thing: IMO it's easy enough to get the periodogram
already via
> fft() (see example 5.4 in the User's Guide), no?
The periodogram maybe; but I'm talking about the spectrum
estimator.
Given that gretl's first purpose is to be an *econometric and time
series library* I think there's room for improvement in the frequency
domain.
Granted.
The embedded matrix language is great and I've almost 100%
converted to it coming from numpy/Python, but it does have one
disadvantage: namely that Jack keeps telling everybody that you can use
it to program everything yourself ;-)
Touché :-)
However, if I may: what would you use a spectrum() function for, in
practice? Surely not for just plotting it, I assume: we have a nice GUI
for that already. If you need it for further processing, like for instance
nonparametric estimators for long-memory processes, or dynamic factors à
la Lippi-Forni-Reichlin, what you really need is the raw periodogram, not
some Bartlett-smoothed transformation, which is easy to do in a script
anyway (oh dear, here I go again!).
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti