[Gretl-users] H-P and end point problem

[Ignacio Diaz-Emparanza]

El Martes, 3 de Abril de 2007 16:28, fe_jasa escribió:
> Dear Colleagues
>
> I want to correct the end point problem of H-P. I have done the
> instruction "addobs 12", for quarterly data, an ARIMA (to Y) and
> obtained the forecast values (Ye). Now I am in conditions of applying
> the H-P filter. But I have no solution to put the values of Y and Ye in
> one variable. I have tried "Yn = Y + Ye", and also some matrix
> operations, without success...
> What must I do to have a variable with the "n" values of Y and the "12"
> final values of "Ye" ?
>
> Best regards

being n the last date of series Y,

genr newser = (t<n)*Y+(t>n)*Ye



-- 
Ignacio Díaz-Emparanza
Dpto. de Economía Aplicada III (Econometría y Estadística)
UPV-EHU