Am 14.09.2017 um 19:26 schrieb Allin Cottrell:
On Thu, 14 Sep 2017, Sven Schreiber wrote:
Gretl's mweights() results agree with those from Ghysels'
which differ from your weightcrosscheck. Here's the function he uses:
Octave gives the following for b_weights(9, 1.01, 1.02):
Yes, I was kind of expecting that my function is the odd one out.
However, the point is that we're talking about something where
supposedly the "last lag is zero" by construction, and apparently only
my naive implementation actually satisfies that. (Even for what we have
declared a "sane" case, theta1 \approx 1 and theta1 < theta2.)
So this leaves me even more puzzled than before.