Re: [Gretl-devel] Bug (?) in hi-freq lag counting of midas
Am 10.07.2017 um 21:32 schrieb Allin Cottrell:
On Mon, 10 Jul 2017, Sven Schreiber wrote:
> [...] I think there are special cases (of Almon?) where you can reduce
> the whole thing to a single parameter? So it's not always absurd to
> have only two or even one lag.
I don't mean to drive this into the ground, but on reflection including
only 2 lags with any of the MIDAS hyperparameterizations is definitely
the wrong thing to do. If you want only two lags, use the unrestricted
(U-MIDAS) specification. Otherwise you're in effect forcing the
algorithm to estimate a smooth decay function with only two data-points,
and this cannot go well.
Yeah, it's all a question of identification, and I'm definitely a friend
of U-Midas. But if only for pedagogical purposes, it's sometimes
interesting to compare the U-Midas results with low-lag
hyperparametrizations, as long as they're theoretically identified.
thanks,
sven