9:39 a.m.
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
10:05 a.m.
New subject: Tranfer function models
El Wednesday 13 February 2008 10:39:27 Riccardo (Jack) Lucchetti escribió:
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.
You may do also an estimation of an unrestricted version of your model.
Multiplying your equation by AA(L)=A(L)*A'(L) and defining B'(L)=A'(L)*B(L)
and C'(L)=A(L)*B(L) you will have
AA(L)y_t = B'(L) x_t + C'(L) u_t
which is estimable in gretl because has the structure that Jack mentioned.
Note that if A(L) has order "a" , A'(L) order a', B(L) order
"b" and C(L)
order "c", AA(L) will be of order a+a', B'(L) will be of order a'+b
and C'(L)
will be of order a+b.
In some cases this may be not appropiate for your model, but at least can help
in identifying the orders of B(L) and A(L) and you can obtain a forecast
based on this model.
--
Ignacio Diaz-Emparanza
DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA)
UPV/EHU
Avda. Lehendakari Aguirre, 83 | 48015 BILBAO
T.: +34 946013732 | F.: +34 946013754
www.et.bs.ehu.es
1:48 p.m.
New subject: Tranfer function models
Ignacio and Jack,
thank you very much for your quick answer, the short and the large one ;-)
I'll try it and I'll tell you about my results.
Thanks a lot!> From: ignacio.diaz-emparanza(a)ehu.es> To:
gretl-users(a)lists.wfu.edu> Subject: Re: [Gretl-users] Tranfer function models> Date:
Wed, 13 Feb 2008 11:05:01 +0100> > El Wednesday 13 February 2008 10:39:27 Riccardo
(Jack) Lucchetti escribió:> > 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.> > You may do also an estimation of an unrestricted version
of your model.> > Multiplying your equation by AA(L)=A(L)*A'(L) and defining
B'(L)=A'(L)*B(L) > and C'(L)=A(L)*B(L) you will have> > AA(L)y_t =
B'(L) x_t + C'(L) u_t> > which is estimable in gretl because has the
structure that Jack mentioned.> > Note that if A(L) has order "a" ,
A'(L) order a', B(L) order "b" and C(L) > order "c", AA(L)
will be of order a+a', B'(L) will be of order a'+b and C'(L) > will be
of order a+b.> > In some cases this may be not appropiate for your model, but at
least can help > in identifying the orders of B(L) and A(L) and you can obtain a
forecast > based on this model.> > > > -- > Ignacio Diaz-Emparanza >
DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA) > UPV/EHU> Avda.
Lehendakari Aguirre, 83 | 48015 BILBAO> T.: +34 946013732 | F.: +34 946013754>
www.et.bs.ehu.es > > _______________________________________________> Gretl-users
mailing list> Gretl-users(a)lists.wfu.edu>
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2:18 p.m.
New subject: data reading problem
Hello listers ! greetings from Paris/Nogent !
I have a problem with my data.
When I wanted to open my datafile, I got a nasty message, gretl stopped
and did not want to open it.
It seems that somehow it got corrupted but, do you think it is
recoverable ?
That would be nice because i have quite older versions that would
require a lot of transformations of the data, append other data etc. If
not impossible, I would like to know if I can avoid that.
If needed I can send my datafile.
The attached image is a screenshot of the problem (I am running 1.7.1
last win snapshot under XP pro).
cheers all !
Franck
2:18 p.m.
New subject: data reading problem
Franck, in the future please start a new thread when you have a new
problem, don't reply to other messages.
Am 14.02.2008 15:18, nadaud(a)centre-cired.fr schrieb:
Hello listers ! greetings from Paris/Nogent !
I have a problem with my data.
When I wanted to open my datafile, I got a nasty message, gretl stopped
and did not want to open it.
It seems that somehow it got corrupted but, do you think it is
recoverable ?
what's the format of the file you want to open? If it's text-based (not
binary) you could search for parts of the number string (e.g., '79885')
and show us what the number looks like in the original file. 1e-318 is
too close to zero for normal floating point numbers, but I suspect
there's some formatting problem really. Maybe decimal-separator/locale
related -- what's your setting there?
-sven
4:04 p.m.
New subject: data reading problem
On Thu, 14 Feb 2008, nadaud(a)centre-cired.fr wrote:
Hello listers ! greetings from Paris/Nogent !
I have a problem with my data.
When I wanted to open my datafile, I got a nasty message, gretl
stopped and did not want to open it.
It seems that somehow it got corrupted but, do you think it is
recoverable ?
Could you send me a copy of the data file off-list?
The thing to try is to gunzip the file and examine its content in
a text editor; I can have a try at that.
Allin.
6178
days inactive
6179
days old
5 comments
6 participants
participants (6)
-
Allin Cottrell -
Ignacio Diaz-Emparanza -
nadaud＠centre-cired.fr -
Nieves Sánchez Martínez -
Riccardo (Jack) Lucchetti -
Sven Schreiber