Re: [Gretl-devel] crash when trying Midas forecasting
Am 09.10.2017 um 20:05 schrieb Allin Cottrell:
On Mon, 9 Oct 2017, Sven Schreiber wrote:
> <output>
> === normalized exponential Almon ===
> Konvergenz erreicht nach 67 Iterationen
>
> Modell 4: MIDAS (NKQ), benutze die Beobachtungen 1991:4-2009:4 (T = 73)
> L-BFGS-B mit bedingten KQ benutzt
> Abhängige Variable: dep
>
> Schätzung Std.-fehler t-Quotient p-Wert
> -------------------------------------------------------------
> const 0.00310599 0.000813343 3.819 0.0003 ***
> dep_1 −0.164985 0.118316 −1.394 0.1682
> const 0.277335 0.0991822 2.796 0.0069 ***
> ...
> </output>
Can you tell me what the midasreg specification looks like? I'm not
seeing anything like that in the examples I'm running, but I guess
they're not general enough.
Right, sorry. Here's a relevant script portion:
<hansl>
# debug
list otherQfreq print
list dIPL print
list dOL print
list SprL print
print "=== normalized exponential Almon ==="
midasreg dep const ownlag otherQfreq; \
mdsl(dIPL, "nealmon") \
mdsl(dOL, "nealmon") \
mdsl(SprL, "nealmon") # mdsl(WL, "nealmon")
</hansl>
The "ownlag" is a list that has just dep_1 in it, this seems to work
alright.
And for completeness the output of the debug list printing is as
follows, with "otherQfreq" on top also just holding a single member:
giphat_m2_0
gip_m1_0 gip_m3_1 gip_m2_1 gip_m1_1 gip_m3_2 gip_m2_2 gip_m1_2 \
gip_m3_3 gip_m2_3
ld_orders_m1_0 ld_orders_m3_1 ld_orders_m2_1 ld_orders_m1_1 ld_orders_m3_2 \
ld_orders_m2_2 ld_orders_m1_2 ld_orders_m3_3 ld_orders_m2_3
spread12_3_m2_0 spread12_3_m1_0 spread12_3_m3_1 spread12_3_m2_1 \
spread12_3_m1_1 spread12_3_m3_2 spread12_3_m2_2 spread12_3_m1_2 \
spread12_3_m3_3 spread12_3_m2_3
thanks,
sven