Re: [Gretl-users] Classical Decomposition
El Friday 01 February 2008 11:50:41 Tom La Bone escribió:
Classical decomposition is breaking a univariate times series down
into a
trend component, a seasonal component, and a random noise component (for
example, see Chapter 1 of Brockwell and Davis intro to time series book).
Tom
You have the Hodrick-Prescott and Baxter-King filters to get the trend. We
currently don't have a native decomposition procedure.
I wrote a gretl package for decomposing a time series based in the structural
models framework (see Harvey's "Time series Models" or "Forecasting
structural time series models and the Kalman filter"). It is in a very
"beta"
state, so it is not finished and it is very slow (I will send it to you in a
private message).
Jack is working in a user interface for the Kalman filter which may do this
things to estimate faster.
But it is work in progress ...
--
Ignacio Diaz-Emparanza
DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA)
UPV/EHU
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