I don't want to open too many Midas threads, so I'm kind of hijacking my
own: Here's another issue, but this time it looks like a bug to me.
From what I understand, the polynomial specification beta-zero-last-lag
(type code 2) should give a coefficient weight of zero for the last lag,
hence its name. (The only exception should be the case when the two
hyperparameters are both one, theta = {1, 1}.)
However, consider these examples:
<hansl>
eval mweights(10, {0,0}, 2)' # gives 0.5 at the end
eval mweights(10, {0.5, 0.5}, 2)' # dito
eval mweights(10, {1.1, 1}, 2)' # gives 0.1194
eval mweights(10, {2, 1}, 2)' # gives 0.2
</hansl>
Am I missing something?
If it's really a bug, does it only affect the mweights() function or
does it spill over into actual midasreg results?
This is with an August snapshot.
Thanks,
sven