3 a.m.
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!
Thanks a lot.
Marco
3:12 a.m.
On Thu, April 26, 2007 18:00, 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!
None of these are in gretl yet. However, in the CVS version you have the
two matrix functions fft and ffti, that can be useful if you plan to
write a function, since convolutions are easy to compute via the Discrete
Fourier Transform.
It would be quite easy to add to the builtin functions something like
y = convolve(x1,x2)
where x1 and x2 are both series. The outcome would be a series with
y_t = \sum_{i=1}^n x1_{t} x2 _{t-i}
Would that be useful enough to justify another genr addition?
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Facoltà di Economia "G. Fuà"
Ancona
3:18 a.m.
On Thu, April 26, 2007 18:12, Riccardo (Jack) Lucchetti wrote:
It would be quite easy to add to the builtin functions something
like
y = convolve(x1,x2)
where x1 and x2 are both series. The outcome would be a series with
y_t = \sum_{i=1}^n x1_{t} x2 _{t-i}
Duh! That should be
y_t = \sum_{i=0}^n x1_{i} x2_{t-i}
Sorry.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Facoltà di Economia "G. Fuà"
Ancona
3:23 a.m.
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
www.et.bs.ehu.es
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3 comments
3 participants
participants (3)
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Ignacio Diaz-Emparanza -
Marco Marini -
Riccardo (Jack) Lucchetti