Re: [Gretl-users] MA Rappesentation
On Wed, 29 May 2013, alexkakashi(a)libero.it wrote:
Dear all,
I have a question about AR models. Let us consider an AR(2), how can
I
obtain the MA rappresentation in gretl?
You have several ways. Two of them are exemplified in the following
script:
<hansl>
nulldata 30
# example A(L) = 1 - 1.6 L + 0.8 L^2
matrix phi = {1.6, -0.8}
matrix c = 1 | zeros(19,1)
eval varsimul(phi, c, zeros(2,1))
series e = 0
series e[3] = 1
y = filter(e,1,phi)
</hansl>
HTH
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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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