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From the help desk: Transfer functions

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  • Allen McDowell

    (Stata Corporation)

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.

Suggested Citation

  • Allen McDowell, 2002. "From the help desk: Transfer functions," Stata Journal, StataCorp LP, vol. 2(1), pages 71-85, February.
    • Handle: RePEc:tsj:stataj:v:2:y:2002:i:1:p:71-85
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