Re: [Gretl-users] Iterated moving average
On Thu, 25 Jan 2007, Peter N. Krembs wrote:
I'm still new to time-series analysis, and I have a question.
I am confused about what process to use in order to create an
iterated, moving-average filter for my time series data. It
needs to be smoothed by 3 iterations of a filter with a width of
30 days (my times series is monthly). Should I use the simple
moving average function for this?
I'm not familiar with the idea of an "iterated moving average" and
I can't find much reference to this in the modern econometric
literature. But if it means what I guess it means, you could
create it by (a) using gretl's simple moving average filter to
create a new series, then (b) recursively applying the simple
moving average filter to the previous result, as many times as you
like.
Allin Cottrell