Am 13.09.2017 um 23:01 schrieb Allin Cottrell:
My impression is that "sane" values of theta have theta_1
around 1.0 and
theta_2 > theta_1 -- and that such vectors will respect the "zero last
lag" condition. Admittedly, this is not explicitly stated anywhere (that
I'm aware of).
Right, but then the estimation can steer the hyperparameters into the
"unsane" region, can't it?
I had also thought about whether there is a condition like th1 < th2 and
looked for it in Ghysels' guide, but couldn't find anything.
(And BTW, what you report on the weighting/summing in R's midasr sounds