Re: [Gretl-devel] crash when trying Midas forecasting
On Mon, 9 Oct 2017, Sven Schreiber wrote:
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>
Thanks, Sven. The problem (or at least, the most obvious problem)
was that low-frequency regressors that appear after the lagged
dependent variable (if present) in the midasreg specification were
not being treated correctly. That should now be fixed in git.
As for more general testing of the case where multiple MIDAS terms
appear in the specification, that's a little tricky. Ghysels' Matlab
code accepts only one MIDAS term, and while midasr accepts multiple
terms there's the problem that they define high-frequency lags
differently (from Matlab and gretl). Nonetheless, it should be
possible to set up a comparison against midasr, with a little
effort. I'll give that a try.
Allin