[Gretl-devel] moving averages

[Ignacio Diaz-Emparanza]

On Thursday 26 April 2007 18:00:48 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!

Some MA filters are under the /Variable/filters menu.

I would also like to have a more general MA filter, for example a command that 
allows to do (in Latex language)

X_t= (1-\theta_1 L-\theta_2 L^2) Y_t

and (the convolution filter)

X_t = Y_t / (1-\theta_1 L -\theta_2 L^2)



-- 
Ignacio Diaz-Emparanza  
DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA)                                        
UPV/EHU
Avda. Lehendakario Aguirre, 83 | 48015 BILBAO
T.: +34 946013732 | F.: +34 946013754
www.et.bs.ehu.es