weighted moving average
Posted: Sun Jul 17, 2011 7:05 am
Hi,
Below I have a picture of a weighting procedure for a 4-year moving average (16 quarters) in which the weights are estimated:
Here, I´ve got the phi_t - series and need to obtain the phi_l - series. Does anyone know what to do?
I´ve got the suggestion to estimate an AR-regression by OLS and use the predicted values from this regression as phi_l and put in the restrictions in the OLS-regression. Could this be true?
If it is, I have a few questions about that procedure; first, I need a whole time series but if I use the regression output I only get one parameter value! second, what am I to write in the estimate equation window since its the dependent variable that is to be generated? third, how do I put in the restrictions on the weights, g, in the estimation window?
If this is now right, does anyone know how to proceed in order to be able to calculate the phi_l-series?
Thanks a lot for all your help, it means a lot!
=)
Below I have a picture of a weighting procedure for a 4-year moving average (16 quarters) in which the weights are estimated:
- eq.10.png (20.99 KiB) Viewed 2147 times
I´ve got the suggestion to estimate an AR-regression by OLS and use the predicted values from this regression as phi_l and put in the restrictions in the OLS-regression. Could this be true?
If it is, I have a few questions about that procedure; first, I need a whole time series but if I use the regression output I only get one parameter value! second, what am I to write in the estimate equation window since its the dependent variable that is to be generated? third, how do I put in the restrictions on the weights, g, in the estimation window?
If this is now right, does anyone know how to proceed in order to be able to calculate the phi_l-series?
Thanks a lot for all your help, it means a lot!
=)