Re: [Gretl-users] recent developments
* Time series filters: We now have moving average (centered or
not, as you prefer), exponential moving average,
Hodrick-Prescott and Baxter-King available in the GUI for time
series data, under /Variable/Filters. This knocks off another
"expert" item that was previously available only in command-line
mode. Thanks to Tadeusz Kufel for helpful suggestions on the
moving average option.
Allin, could be possible to consider an AR filter as well?
In R, sometimes I used the "filter" function (in the stats package)
with the "convolution" option (MA) and also with the "recursive"
option. I suppose the new moving average filter in gretl corresponds
to the "convolution" option in R, but it would be good to have also
the equivalent to the "recursive" option, for example, to simulate AR
models (The x in the link below should be the epsilons) or for
estimating some types of transfer function models.
See http://web.csb.ias.edu/library/stats/html/filter.html