Re: [Gretl-devel] Midas syntax, small issue
Am 15.09.2017 um 14:19 schrieb Allin Cottrell:
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.
Well, except in other cases that we have looked at, like th1==2 and
th==1 (which doesn't have to do with the eps thing, of course), where
both implementations jump from (the max weight) 0.1 at N to 0 at N+1.
My personal takeaway is that this beta0/betann is unreliable and/or
misleading by construction. I'd rather go with the other beta or perhaps
with the Almons (not to mention umidas).
Eventually I will try if I can find out more for Eviews.
thanks,
sven