Dear Gretl Team, I just started reading "MIDAS in gretl: where are we?" by Allin and Jack and I really happy to see this development. I didn't finish yet, but I would like to make some suggestions. Please keep in mind (1) I'm not an expert in this field and, (2) the suggestions are just... suggestions ;-) Allin & Jack (2016): | Since a gretl dataset formally handles only a single data frequency | it may seem that we have a problem. However, we have adopted a | straightforward solution: a higher frequency series x_H is represented | by a set of m series, each holding the value of x_H in a sub-period of | the “base” (lower-frequency) period (where m is the ratio of the | higher frequency to the lower). I think this is a good "internal" solution, but it doesn't look good in aesthetic terms. IMHO it looks like a temporary patch and is a little bit far from the general Gretl user interface. When I looked at "Figure 1: A slice of MIDAS data" I immediately thought: "This software can't handle different frequencies in a native way and this figure represents a workaround". I would like to suggest one of these represantations (attached I'm sending a pdf with more complete examples): # Representation 1: month indpro quarter gdpc96 1947M01 14,3650 1947M02 14,2811 1947Q1 1934,47 1947M03 14,1973 1947M04 14,3091 1947M05 14,3091 1947Q2 1932,28 1947M06 14,2532 1947M07 14,4209 1947M08 14,3091 1947Q3 1930,31 1947M09 14,2253 1947M10 14,8121 1947M11 14,7562 1947Q4 1960,7 1947M12 14,5606 1948M01 14,7563 1948M02 14,9240 1948Q1 1989,54 1948M03 14,8960 1948M04 15,2313 1948M05 15,0357 1948Q2 2021,85 1948M06 14,7842 # Representation 2: monthly | quarterly --------------------------------------------- indpro | gdpc96 1947M01 14,3650 | 1947M02 14,2811 | 1947Q1 1934,47 1947M03 14,1973 | 1947M04 14,3091 | 1947M05 14,3091 | 1947Q2 1932,28 1947M06 14,2532 | 1947M07 14,4209 | 1947M08 14,3091 | 1947Q3 1930,31 1947M09 14,2253 | 1947M10 14,8121 | 1947M11 14,7562 | 1947Q4 1960,70 1947M12 14,5606 | 1948M01 14,7563 | 1948M02 14,9240 | 1948Q1 1989,54 1948M03 14,8960 | 1948M04 15,2313 | 1948M05 15,0357 | 1948Q2 2021,85 1948M06 14,7842 | Allin & Jack (2016): | So let us define a MIDAS list: this is a list of m series holding | per-period values of a single high-frequency series, arranged in the | order of most recent first, as illustrated above. Given the dataset | shown in Figure 1, an example of a correctly formulated MIDAS list | would be | list INDPRO = indpro_m3 indpro_m2 indpro_m1 | Or, since the monthly observations are already in the required order, | we could define the list by means of a “wildcard”: | list INDPRO = indpro_m* | Having created such a list, one can use the setinfo command to tell | gretl that it’s a bonafide MIDAS list: | setinfo INDPRO --midas I think this strategy runs against on of our main feature (according to Gretl User’s Guide): "User-friendly: Gretl offers an intuitive user interface; it is very easy to get up and running with econometric analysis". We could do this operation internally, outside the view of our users. With that statement in mind I think it could be better to do this internally, outside user's view. Let me explain better: internally the solution would be exactly the one proposed by Allin and Jack, but the "indpro" will looks like a series on the main Gretl window. But how will could we represent different frequencies in Gretl's main window? We can use exactly the same strategy we use with databases. Take a look at the pdf I had attached to this mail. Um abraço, Henrique Andrade