Re: [Gretl-users] Polynomial of Almon

On Wed, 17 Feb 2010, Sylvain Petit wrote: It's not a built-in routine, but yes, it is possible. In the sample script below I use the notation from the account of the Almon polynomial method given by D.S.G. Pollock, at http://webspace.qmul.ac.uk/dsgpollock/public_html/courses/mesomet/topics/... The example is bracketed by the tags <script> and </script>, which are not themselves part of the gretl script. <script> open data3-6.gdt series x = Yt # independent variable: income scalar k = 5 # maximum lag length scalar q = 2 # order of Almon polynomial # form the variables z_0 to z_q loop j=0..q --quiet series z_$j = 0 loop i=0..k --quiet z_$j += (i^j) * x(-$i) endloop endloop # regress the dependent variable on the z's and # retrieve the coefficients on the z's as gamma ols Ct 0 z_* matrix gamma = $coeff[2:] print gamma # recover and print the constrained betas matrix beta = zeros(k+1,1) loop i=0..k --quiet loop j=0..q --quiet beta[i+1] += gamma[j+1] * i^j endloop endloop print beta </script> Allin Cottrell