Dear Gretl Team,

I just started reading "MIDAS in gretl: where are we?" by Allin and
Jack and I really happy to see this development. I didn't finish yet,
but I would like to make some suggestions. Please keep in mind (1)

I'm not an expert in this field and, (2) the suggestions are just...

suggestions ;-)

Allin & Jack (2016):

| Since a gretl dataset formally handles only a single data frequency
| it may seem that we have a problem. However, we have adopted a
| straightforward solution: a higher frequency series x_H is represented
| by a set of m series, each holding the value of x_H in a sub-period of
| the “base” (lower-frequency) period (where m is the ratio of the
| higher frequency to the lower).

I think this is a good "internal" solution, but it doesn't look good
in aesthetic terms. IMHO it looks like a temporary patch and is a
little bit far from the general Gretl user interface. When I looked at
"Figure 1: A slice of MIDAS data" I immediately thought: "This
software can't handle different frequencies in a native way and this
figure represents a workaround". I would like to suggest one of these
represantations (attached I'm sending a pdf with more complete
examples):

# Representation 1:

month      indpro     quarter   gdpc96

1947M01    14,3650
1947M02    14,2811    1947Q1    1934,47
1947M03    14,1973
1947M04    14,3091
1947M05    14,3091    1947Q2    1932,28
1947M06    14,2532
1947M07    14,4209
1947M08    14,3091    1947Q3    1930,31
1947M09    14,2253
1947M10    14,8121
1947M11    14,7562    1947Q4    1960,7
1947M12    14,5606
1948M01    14,7563
1948M02    14,9240    1948Q1    1989,54
1948M03    14,8960
1948M04    15,2313
1948M05    15,0357    1948Q2    2021,85
1948M06    14,7842

# Representation 2:

       monthly        |      quarterly
---------------------------------------------
           indpro     |              gdpc96
1947M01    14,3650    |
1947M02    14,2811    |    1947Q1    1934,47
1947M03    14,1973    |
1947M04    14,3091    |
1947M05    14,3091    |    1947Q2    1932,28
1947M06    14,2532    |
1947M07    14,4209    |
1947M08    14,3091    |    1947Q3    1930,31
1947M09    14,2253    |
1947M10    14,8121    |
1947M11    14,7562    |    1947Q4    1960,70
1947M12    14,5606    |
1948M01    14,7563    |
1948M02    14,9240    |    1948Q1    1989,54
1948M03    14,8960    |
1948M04    15,2313    |
1948M05    15,0357    |    1948Q2    2021,85
1948M06    14,7842    |

Allin & Jack (2016):

| So let us define a MIDAS list: this is a list of m series holding
| per-period values of a single high-frequency series, arranged in the
| order of most recent first, as illustrated above. Given the dataset
| shown in Figure 1, an example of a correctly formulated MIDAS list
| would be
| list INDPRO = indpro_m3 indpro_m2 indpro_m1
| Or, since the monthly observations are already in the required order,
| we could define the list by means of a “wildcard”:
| list INDPRO = indpro_m*
| Having created such a list, one can use the setinfo command to tell
| gretl that it’s a bonafide MIDAS list:
| setinfo INDPRO --midas

I think this strategy runs against on of our main feature (according
to Gretl User’s Guide): "User-friendly: Gretl offers an intuitive user
interface; it is very easy to get up and running with econometric
analysis". We could do this operation internally, outside the view of
our users. With that statement in mind I think it could be better to
do this internally, outside user's view.

Let me explain better: internally the solution would be exactly the
one proposed by Allin and Jack, but the "indpro" will looks like a
series on the main Gretl window. But how will could we represent
different frequencies in Gretl's main window? We can use exactly the
same strategy we use with databases. Take a look at the pdf I had
attached to this mail.

Um abraço,
Henrique Andrade