Bulent,
You might consider a basic vector autoregression or structural vector autoregression
with with impulse response functions.
Regards,
Robert Yaffee
----- Original Message -----
From: "Koksal, Bulent" <[email protected]>
Date: Sunday, January 20, 2008 6:58 am
Subject: st: transfer function
To: [email protected]
> Dear all,
> How can I estimate a transfer function model like the following using
> Stata? Thanks for any help.
>
> yt=a0+A(L)yt-1+C(L)zt+B(L)et
>
> --
> B�lent K�ksal
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
