Transfer Function Models

[relaxdave]

Hi!

Is there a way to set up a transfer function model in eviews?

I couldn't find anythin in the forum nor in the User's guide concerning ARIMAX or transfer function modelling.

A description for TF models can be foun ... Qw&cad=rja

Any proposals for combining ARIMA and exogenous variables in a model are appreciated!

Thank you!

[EViews Gareth]

Transfer functions aren't built in, but, of course, estimating an ARIMAX model in EViews is trivial - just add AR and MA terms to your standard LS equation, and possibly difference the variables (for the I component).

[relaxdave]

That's what I did so far, but now I would like to compare these results to a transfer function model.

Has anyone written a program to estimate a transfer function model?