[Gretl-devel] moving averages

[Riccardo (Jack) Lucchetti]

On Thu, April 26, 2007 18:00, Marco Marini wrote:
> Hi,
> I was looking for a way to apply moving average filters to a time series.
> To my understanding there isn't a built-in function in gretl, so I would
> like
> to know whether some user has already developed it.
>
> If not, I think I will write a user function (I need it to show its
> properties to my students).
> In this case, I would like to know whether is available the convolution
> function in gretl,
> which is very helpful to combine filters. Any suggestion is obviously
> welcome!
>

None of these are in gretl yet. However, in the CVS version you have the
two matrix functions fft and ffti, that can be useful if you plan to
write a function, since convolutions are easy to compute via the Discrete
Fourier Transform.

It would be quite easy to add to the builtin functions something like

y = convolve(x1,x2)

where x1 and x2 are both series. The outcome would be a series with

y_t = \sum_{i=1}^n x1_{t} x2 _{t-i}

Would that be useful enough to justify another genr addition?


Riccardo (Jack) Lucchetti
Dipartimento di Economia
Facoltà di Economia "G. Fuà"
Ancona