Re: [Gretl-devel] Midas syntax, small issue
On Wed, 13 Sep 2017, Sven Schreiber wrote:
Am 13.09.2017 um 23:01 schrieb Allin Cottrell:
> My impression is that "sane" values of theta have theta_1 around 1.0 and
> theta_2 > theta_1 -- and that such vectors will respect the "zero last
lag"
> condition. Admittedly, this is not explicitly stated anywhere (that I'm
> aware of).
Right, but then the estimation can steer the hyperparameters into the
"unsane" region, can't it?
In principle, I suppose, but I haven't seen it happen.
I had also thought about whether there is a condition like th1 <
th2 and
looked for it in Ghysels' guide, but couldn't find anything.
Nor could I.
(And BTW, what you report on the weighting/summing in R's midasr
sounds
weird.)
Yep, it seems strange to me too. But it's definitely the case: the
weights returned by midasr's nbeta() function -- and its analogs for
the other parameterizations -- sum to the length of the vector of
hyperparameters. So typically they are twice the size of those given
by Matlab and gretl.
Allin