Re: [Gretl-devel] crash when trying Midas forecasting
Am 09.10.2017 um 23:15 schrieb Allin Cottrell:
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.
Thanks, with the latest snapshot I'm now getting sensible results
(meaning estimates as well as forecasts), both with UMidas as well as
with the parsimonious specifications.
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.
Of course "sensible results" are no proof that they are correct, but I'm
relatively confident. Apart from that, I'm not sure that your scarce
time resources should be used on testing those things.
Any R aficionados out there for whom it would be easy to handle R's
"midasr" package?
[Provided anybody is still following this thread at all...]
thanks,
sven