[Gretl-users] Re: Time series question (MIDAS multipliers)
On Tue, 7 Jul 2020, Riccardo (Jack) Lucchetti wrote:
But suppose you have a MIDAS model with an autoregressive part. Something
like
y_t = \alpha y_{t-1} + \sum_{i=0}^k \beta_i x_{\tau - i} + u_t
[...]
Does anyone have a reference on how to compute the dynamic
multipliers?
I have searched a little but found no clues. Can anybody help?
Replying to myself in case anyone is interested: I found this
https://ideas.repec.org/p/ptu/wpaper/w201401.html
I'm reading it right now, and it looks quite promising.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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