[Gretl-users] Re: Midas make high frequency series stationnary

Am 31.01.2024 um 11:47 schrieb d.lalountas(a)minfin.gr: If I understand your problem correctly, then sdiff should still be OK for you, even in the MIDAS case. For example, in the gdp_midas.gdt example dataset that comes with gretl, industrial production is a monthly variable, and monthly is the "high" frequency, so it comes as three Midas-series, namely indpro_m1, indpro_m2, indpro_m3. But the "core" or "low" frequency of the dataset is quarterly. So if you apply sdiff() to, say, indpro_m1, then the obs for, say, January 2010 is embedded in that series in the 2010Q1 low-freq period. Going back 4 quarters then gives you exactly what you want, January 2009 within 2009Q1. So: <hansl> open gdp_midas.gdt list L = indpro* list direct = sdiff(L) # manual comparison series indirectM1 = indpro_m1 - indpro_m1(-$pd) # $pd is 4 here # check the equality: eval sum(abs(sd_indpro_m1 - indirectM1)) </hansl> However, it seems that you have to re-define the result from sdiff() (the "direct" list here) explicitly as a MIDAS list again (setinfo direct --midas), for example for plotting purposes, which is a slight nuisance. cheers sven