Re: [Gretl-devel] Midas syntax, small issue

Am 13.09.2017 um 23:38 schrieb Allin Cottrell: Well I have a case here where I set the initial values to {0.5, 0}, and that's where the routine converges. The results have various obvious and visible problems, but I think it constitutes a proof of concept. So I'm wondering whether a condition like th2 > th1 should be imposed at least on the starting values. (It's more difficult to impose it overall I guess.) But of course it would be nice to have some literature on that. And while I experimented with those Midas weights, another question came up: Is $model.seplist after midasreg properly implemented? Consider this example: <hansl> open gdp_midas.gdt list mi = ld_indpro_m? list mp = ld_payems_m? midasreg ld_qgdp const ld_qgdp(-1) ; \ mds(mi, 0,2, 2, null) mds(mp, 1,5, 2, null) check = $model.seplist list check print # I get: ld_qgdp payems_m1 </hansl> Note that the members of 'check' have ID numbers 2 and 5 in the dataset -- and that the first set of Midas coefficients is in positions 2-4, the second set is in positions 5-7. So I'm guessing that this provides information where the Midas coefficients are located in the $coeff vector, but somehow this is erroneously (?) put into a list container? Also, $model does not seem to contain information about the hi-freq regressors: $model.xlist gives me the same as $model.lfxlist. thanks, sven