From the help desk: Transfer functions

Allen McDowell ()
Additional contact information
Allen McDowell: Stata Corporation

Stata Journal, 2002, vol. 2, issue 1, pages 71-85

Abstract: The question often arises as to whether one can estimate a transfer function model using Stata. While Stata does not currently have a convenience command for doing so, this article will demonstrate that estimating such a model can be accomplished quite easily using Stata's arima command. The classic text for transfer function modeling is Box, Jenkins, and Reinsel (1994); however, a more concise presentation can be found in Brockwell and Davis (1991). Copyright 2002 by Stata Corporation.

Keywords: arima; xcorr; corrgram; transfer function; impulse-response function; autocorrelation function; cross-correlation function; pre-whitened; linear filter; difference equation (search for similar items in EconPapers)
Date: 2002
View list of references

Downloads: (external link)
http://www.stata-journal.com/sjpdf.html?articlenum=st0009 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:tsj:stataj:v:2:y:2002:i:1:p:71-85

Ordering information: This journal article can be ordered from
http://www.stata-journal.com/subscription.html

Access Statistics for this article

Stata Journal is edited by H. Joseph Newton and Nicholas J. Cox

More articles in Stata Journal from StataCorp LP
Series data maintained by Christopher F. Baum ().