Re: [Gretl-devel] crash when trying Midas forecasting
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>
Note the double "const" entry.
With "almonp", "betan" and "beta0" similar (sometimes
slightly
different) problems.
As I said, I suspect this is more than just a labeling problem, given
the resulting forecasts. (not shown here)
thanks,
sven