On Mon, 31 Oct 2016, Henrique Andrade wrote:
Dear Gretl Team,
I'm not an expert in MIDAS and because of that I am not confident
translating the following lines:
1. Normalized beta (zero last lag)
2. spread (MIDAS)
Line 1: Could you explain me what is "zero last lag"?
The beta distribution is one parsimonious way of obtaining
coefficients on p lags of a high-frequency regressor from either 2 or
3 hyper-parameters. In the 2-parameter case the coefficient on lag p
(the last lag) is forced to zero.
Line 2: Could you give me a little more context about "spread
(MIDAS)"?
This is one way of "compacting" a high frequency series on importation
to a lower-frequency dataset. We "spread" the original series onto m
series, where m is the ratio of the higher frequency to the lower.
This is useful if and only if you're planning to do some sort of MIDAS
analysis.
Another line I get myself stuck is:
3. Decoration
Could you give me more context?
This is just used in the documentation, when categorizing
matrix-related functions. The functions rownames() and colnames() are
shown under the heading "Decoration".
Allin