[Gretl-users] Iterated moving average

Peter N. Krembs p.krembs at gmail.com
Fri Jan 26 12:09:19 EST 2007


Allin,

Thanks for the response.  Yes, you're correct-- basically, it entails
applying the same filter 3 times to get a good smoothing of the data.

One other question: in the # of observations prompt, is this the value of
"q"?

Thanks!


On 1/25/07, Allin Cottrell <cottrell at wfu.edu> wrote:
>
> On Thu, 25 Jan 2007, Peter N. Krembs wrote:
>
> > I'm still new to time-series analysis, and I have a question.
> > I am confused about what process to use in order to create an
> > iterated, moving-average filter for my time series data.  It
> > needs to be smoothed by 3 iterations of a filter with a width of
> > 30 days (my times series is monthly).  Should I use the simple
> > moving average function for this?
>
> I'm not familiar with the idea of an "iterated moving average" and
> I can't find much reference to this in the modern econometric
> literature.  But if it means what I guess it means, you could
> create it by (a) using gretl's simple moving average filter to
> create a new series, then (b) recursively applying the simple
> moving average filter to the previous result, as many times as you
> like.
>
> Allin Cottrell
> _______________________________________________
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> Gretl-users at ricardo.ecn.wfu.edu
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>



-- 
Regards,
Peter Krembs
Oakland, CA USA
510.285.7098
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