[Gretl-users] Tranfer function models

[Riccardo (Jack) Lucchetti]

On Tue, 12 Feb 2008, Nieves Sánchez Martínez wrote:

>
> Hello, I need to use transfer function models but I don't know if Gretl 
> can do it. I've read Gretl help documents and I haven't found it. Could 
> you please tell me how can I do it using Gretl (if possible)?

If what you need is a univariate model of the kind

A(L)y_t = B(L)x_t + C(L)u_t

where L is the lag operator and u_t is a white noise sequence, that's 
exactly what the "arima" command, with the --conditional option, does. In 
the graphical client, you must select Model>Time series>ARIMA and select 
"Conditional maximum likelihood" just above the "Help" button (by default, 
exact maximum likelihood is used, which estimates something different).

You'll find a more complete discussion in the manual.


Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche

r.lucchetti at univpm.it
http://www.econ.univpm.it/lucchetti