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?

Allin, Thanks for the response. Yes, you're correct-- basically, it entails applying the same filter 3 times to get a good smoothing of the data. One other question: in the # of observations prompt, is this the value of "q"? Thanks! On 1/25/07, Allin Cottrell <cottrell(a)wfu.edu&gt; wrote: > > 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 > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)ricardo.ecn.wfu.edu > http://ricardo.ecn.wfu.edu/mailman/listinfo/gretl-users > -- Regards, Peter Krembs Oakland, CA USA 510.285.7098