[Gretl-users] Iterated moving average
Peter N. Krembs
p.krembs at gmail.com
Fri Jan 26 12:24:36 EST 2007
If I wanted to plot my observed values (minus) the seasonal trend, would
this be the "short-term" trend (e.g., residuals)?
On 1/26/07, Peter N. Krembs <p.krembs at gmail.com> wrote:
> 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
> 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
> > _______________________________________________
> > Gretl-users mailing list
> > Gretl-users at ricardo.ecn.wfu.edu
> > http://ricardo.ecn.wfu.edu/mailman/listinfo/gretl-users
> Peter Krembs
> Oakland, CA USA
Oakland, CA USA
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