[Gretl-devel] RFC: time-series filter (long, I'm afraid)

[Ignacio Diaz-Emparanza]

> This is, in some contexts, rather unsatisfactory. However, I see no easy
> way out. Ideally, one should be able to indicate what pre-sample values
> for x and y should be. I'm a bit wary of adding 2 extra parameter to a
> function, so we mat want to turn this functionality into a command,
> something like
>
> filter x A C ; y0 x0
>
> and receive output via some dollar accessor. But OTOH it's nice from a
> programming viewpoint to use all the genr infrastructure.
>
> Another issue is computational: there may be some advantage in using
> Fourier transforms for this. However, I'm no expert here and if any of you
> can give me any hint of the pros and cons, I'd be most grateful.
>
> Your opinions? (Sorry for the long message)

Good work Jack!
I was missing this filter command as well.

With respect to the initial values may be you want to have a look at the help 
of the "filter" command in R: (in the 'stats' package)

http://stat.ethz.ch/R-manual/R-patched/library/stats/html/filter.html

they allow to assign initial values different from zero only to the "y" 
variable.




-- 
Ignacio Diaz-Emparanza  
DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA)                                        
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