Re: [Gretl-devel] crash when trying Midas forecasting
On Mon, 9 Oct 2017, Sven Schreiber wrote:
Am 09.10.2017 um 12:07 schrieb Sven Schreiber:
> Am 07.10.2017 um 17:17 schrieb Allin Cottrell:
>> Thanks for the offer, but this is now fixed in git and snapshots. The
>> thing is that for forecasting we need the "gross" MIDAS coefficients
>> (hfslope, if any, times the weights implied by the hyperparams, for
>> each midas term).
>
> I'm not sure if this is now correct, I seem to be getting some strange
> results for the Umidas case, where I _believe_ they were different (more
> plausible) before. I'll have to check, and will report back.
Well, for example I am getting this bogus type of estimation output with
yesterday's snapshot:
<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.
Allin