How to implement GFLS and GFLS2 methods in GAUSS


I'm trying to find the commands used to estimate the generalised flexible least-squares (GFLS) of Kalaba and Testfatsion (1990) and generalised flexible least-squares (GFLS2) of Lüktepohl and Herwartz (1996), both methods are incorporated in GAUSS under the category Estimation Tools for Time Series Analysis, please check the link

I couldn't find a reference for these two methods in the user guide, could someone help me to find the commands of these two methods


1 Answer


These commands are part of an add-on package called TSM 1.2: Time Series/Wavelets for Finance.

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