On Mon, 9 Oct 2017, Sven Schreiber wrote: > Am 09.10.2017 um 20:05 schrieb Allin Cottrell: >> On Mon, 9 Oct 2017, Sven Schreiber wrote: > >>> <output> >>> === normalized exponential Almon === >>> Konvergenz erreicht nach 67 Iterationen >>> >>> Modell 4: MIDAS (NKQ), benutze die Beobachtungen 1991:4-2009:4 (T = 73) >>> L-BFGS-B mit bedingten KQ benutzt >>> Abhängige Variable: dep >>> >>> Schätzung Std.-fehler t-Quotient p-Wert >>> ------------------------------------------------------------- >>> const 0.00310599 0.000813343 3.819 0.0003 *** >>> dep_1 −0.164985 0.118316 −1.394 0.1682 >>> const 0.277335 0.0991822 2.796 0.0069 *** >>> ... >>> </output> >> >> Can you tell me what the midasreg specification looks like? I'm not >> seeing anything like that in the examples I'm running, but I guess >> they're not general enough. > > Right, sorry. Here's a relevant script portion: > > <hansl> > # debug > list otherQfreq print > list dIPL print > list dOL print > list SprL print > > print "=== normalized exponential Almon ===" > > midasreg dep const ownlag otherQfreq; \ > mdsl(dIPL, "nealmon") \ > mdsl(dOL, "nealmon") \ > mdsl(SprL, "nealmon") # mdsl(WL, "nealmon") > </hansl>
Thanks, Sven. The problem (or at least, the most obvious problem) was that low-frequency regressors that appear after the lagged dependent variable (if present) in the midasreg specification were not being treated correctly. That should now be fixed in git. As for more general testing of the case where multiple MIDAS terms appear in the specification, that's a little tricky. Ghysels' Matlab code accepts only one MIDAS term, and while midasr accepts multiple terms there's the problem that they define high-frequency lags differently (from Matlab and gretl). Nonetheless, it should be possible to set up a comparison against midasr, with a little effort. I'll give that a try. Allin
