From the help desk: Transfer functions

Allen McDowell ()
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Allen McDowell: Stata Corporation

Stata Journal, 2002, vol. 2, issue 1, 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
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