RE: [Gretl-users] Tranfer function models
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.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti