Ignacio and Jack,
thank you very much for your quick answer, the short and the large one ;-) 
 
I'll try it and I'll tell you about my results.
 
Thanks a lot!

> From: ignacio.diaz-emparanza@ehu.es
> To: gretl-users@lists.wfu.edu
> Subject: Re: [Gretl-users] Tranfer function models
> Date: Wed, 13 Feb 2008 11:05:01 +0100
>
> El Wednesday 13 February 2008 10:39:27 Riccardo (Jack) Lucchetti escribió:
> > On Wed, 13 Feb 2008, Nieves Sánchez Martínez wrote:
> > > Hello,
> > > I need something like
> > >
> > > y_t = (B(L)/A(L)) x_t + (C(L)/A'(L)) u_t
> > >
> > > where L is the lag operator and u_t is a white noise sequence and A(L)
> > > and A'(L) are different. I think --conditional option doesn't do that
> > > and in the manual I haven't found it. Is it possible?
> >
> > Short answer: yes and no :-)
> >
> > Long answer: what arma --conditional can handle is the special case
> > A(L) = A'(L). What you can do is write a script that estimates the general
> > case, perhaps via MLE, or via the multi-stage approach described in
> > Brockwell & Davis. All the tools you need are in gretl already, but you
> > don't get a pre-cooked estimator, you have to write it yourself. One of
> > the things we are considering for the next release, or possible the one
> > after, is a user-level implementation of the Kalman filter, which should
> > make this task (relatively) painless.
>
> You may do also an estimation of an unrestricted version of your model.
>
> Multiplying your equation by AA(L)=A(L)*A'(L) and defining B'(L)=A'(L)*B(L)
> and C'(L)=A(L)*B(L) you will have
>
> AA(L)y_t = B'(L) x_t + C'(L) u_t
>
> which is estimable in gretl because has the structure that Jack mentioned.
>
> Note that if A(L) has order "a" , A'(L) order a', B(L) order "b" and C(L)
> order "c", AA(L) will be of order a+a', B'(L) will be of order a'+b and C'(L)
> will be of order a+b.
>
> In some cases this may be not appropiate for your model, but at least can help
> in identifying the orders of B(L) and A(L) and you can obtain a forecast
> based on this model.
>
>
>
> --
> Ignacio Diaz-Emparanza
> DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA)
> UPV/EHU
> Avda. Lehendakari Aguirre, 83 | 48015 BILBAO
> T.: +34 946013732 | F.: +34 946013754
> www.et.bs.ehu.es
>
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