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

[Allin Cottrell]

On Fri, 15 Feb 2008, Riccardo (Jack) Lucchetti wrote:

> I'd like to implement some mechanism for "arma-like" filtering 
> of a time series, that is, given a time series x_t, compute y_t 
> that satisfies
> 
> y_t = C(L)/A(L) x_t

<snip>
> 
> 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...

One possibly relevant point: I've been thinking about implementing 
optional parameters in genr functions (so instead of having to add 
"null" or whatever you could just write a function call in shorter 
form, if you're happy with the defaults for the trailing values).

Allin.