[Gretl-users] Tranfer function models

[Nieves Sánchez Martínez]

Ignacio and Jack, 
thank you very much for your quick answer, the short and the large one ;-) 
 
I'll try it and I'll tell you about my results.
 
Thanks a lot!> From: ignacio.diaz-emparanza at ehu.es> To: gretl-users at lists.wfu.edu> Subject: Re: [Gretl-users] Tranfer function models> Date: Wed, 13 Feb 2008 11:05:01 +0100> > El Wednesday 13 February 2008 10:39:27 Riccardo (Jack) Lucchetti escribió:> > 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.> > You may do also an estimation of an unrestricted version of your model.> > Multiplying your equation by AA(L)=A(L)*A'(L) and defining B'(L)=A'(L)*B(L) > and C'(L)=A(L)*B(L) you will have> > AA(L)y_t = B'(L) x_t + C'(L) u_t> > which is estimable in gretl because has the structure that Jack mentioned.> > Note that if A(L) has order "a" , A'(L) order a', B(L) order "b" and C(L) > order "c", AA(L) will be of order a+a', B'(L) will be of order a'+b and C'(L) > will be of order a+b.> > In some cases this may be not appropiate for your model, but at least can help > in identifying the orders of B(L) and A(L) and you can obtain a forecast > based on this model.> > > > -- > Ignacio Diaz-Emparanza > DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA) > UPV/EHU> Avda. Lehendakari Aguirre, 83 | 48015 BILBAO> T.: +34 946013732 | F.: +34 946013754> www.et.bs.ehu.es > > _______________________________________________> Gretl-users mailing list> Gretl-users at lists.wfu.edu> http://lists.wfu.edu/mailman/listinfo/gretl-users
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