Re: [Gretl-devel] Midas syntax, small issue
On Fri, 15 Sep 2017, Sven Schreiber wrote:
Am 14.09.2017 um 23:50 schrieb Allin Cottrell:
> However, in relation to your example it appears that maybe it's designed to
> prevent abrupt changes in weight at the ends of the lag range. As you
> compute the weights they jump from and to zero at the end-points; as
> Ghysels computes them the profile is smoother.
Well, there will _always_ be abrupt jumps to zero, namely at lag N+1.
The jump will not be very abrupt if the prior coefficients are
declining, which seems to be taken for granted.
[...]
Any ideas what the R package or Eviews (>= 9.5) do?
No idea what Eviews does, though I suspect it will mimic Ghysels. R's
nbeta() produces the same results as Ghysels and gretl.
<hansl>
eval mweights(9, {1.01,1.02}, 2)
foreign language=R
library(midasr)
b <- nbeta(p=c(2, 1.01, 1.02), d=9)
b/2.0
end foreign
</hansl>
Allin