On Thu, 14 Sep 2017, Sven Schreiber wrote:
And while I experimented with those Midas weights, another question
Is $model.seplist after midasreg properly implemented? Consider this example:
list mi = ld_indpro_m?
list mp = ld_payems_m?
midasreg ld_qgdp const ld_qgdp(-1) ; \
mds(mi, 0,2, 2, null) mds(mp, 1,5, 2, null)
check = $model.seplist
list check print # I get: ld_qgdp payems_m1
Note that the members of 'check' have ID numbers 2 and 5 in the
dataset -- and that the first set of Midas coefficients is in
positions 2-4, the second set is in positions 5-7. So I'm guessing
that this provides information where the Midas coefficients are
located in the $coeff vector,
Yes, that's right.
but somehow this is erroneously (?) put into a list container?
Well, the list container is convenient for internal use. But since
it's not a "list" in the usual gretl sense it should probably be
omitted from the $model bundle.
Also, $model does not seem to contain information about the hi-freq
regressors: $model.xlist gives me the same as $model.lfxlist.
The information on the hi-freq terms is stored on the model struct in
the form of an array of bundles. This array wasn't getting saved into
the $model bundle but that's now corrected in git.
bundles B = $model.midas_info
loop i=1..nelem(B) -q