Am 15.09.2017 um 17:57 schrieb Allin Cottrell:
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.
Right. The question is whether it really is appropriate to skip any
checks or explicit restrictions. I'll try to keep my eyes open in
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.
Ok, interesting perspective on the issue.