From the help desk: Transfer functions
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).
View all articles by this author:
Allen McDowell
View all articles with these keywords:
arima, xcorr, corrgram, transfer function, impulse-response function, autocorrelation function, cross-correlation function, pre-whitened, linear filter, difference equation
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