[Gretl-users] Tranfer function models

[Riccardo (Jack) Lucchetti]

On Wed, 13 Feb 2008, Nieves Sánchez Martínez wrote:

>
> Hello,
> I need something like
>
> y_t = (B(L)/A(L)) x_t + (C(L)/A'(L)) u_t
>
> where L is the lag operator and u_t is a white noise sequence and A(L) 
> and A'(L) are different. I think --conditional option doesn't do that 
> and in the manual I haven't found it. Is it possible?

Short answer: yes and no :-)

Long answer: what arma --conditional can handle is the special case
A(L) = A'(L). What you can do is write a script that estimates the general 
case, perhaps via MLE, or via the multi-stage approach described in 
Brockwell & Davis. All the tools you need are in gretl already, but you 
don't get a pre-cooked estimator, you have to write it yourself. One of 
the things we are considering for the next release, or possible the one 
after, is a user-level implementation of the Kalman filter, which should 
make this task (relatively) painless.


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

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