Re: [Gretl-devel] Midas syntax, small issue

One more comment from me: by "seems to be taken for granted" above I meant that it seems to be taken for granted that suitable beta hyperparameters for MIDAS are going to exhibit theta2 sufficiently large in relation to theta1 as to ensure that the weights decline at higher lags (possibly after an initial hump). And in that case the "zero last lag" (two-param) version really does give a zero last lag.

If, on the contrary, the params are such that the weights are flat or even increasing at higher lags, then "zero last lag" does not get imposed by Ghysels' algorithm, but I guess that means there's misspecification: not enough lags have been included.