[Gretl-users] Re: Midas make high frequency series stationnary
Am 02.02.2024 um 08:30 schrieb d.lalountas(a)minfin.gr:
Hi Sven ,
Thanks a lot for your reply.
My question is if it possible to get the desired result by using the seasonal
differences before compacting the high-frequancy data. This method , that is sdiff in the
high frequency series, is compatible with the method of constructing a Midas dataset ? Or
I must use a "special" function as I did when using first deifferences , that
is the hfdiff function istead of diff function?
If I understand you correctly, then you should be OK with using sdiffin
the hi-freq context. In a quarterly and monthly context, seasonal always
means one year ago (or $pd periods, where $pd==4 for quarterly and
$pd==12 for monthly), so that matches.
The same should hold for weekly data, I guess, but subject to testing
and verification.
For daily data, however, things are likely to become trickier. There,
the standard meaning of seasonal is (I believe) from week to week, and
there you then have a mismatch with the seasonal definition for weekly data.
Also, all this assumes that there's just one layer of seasonality. For
monthly data, in principle you could think of both a quarterly and an
annual cycle. But so far gretl does not natively support several
coexisting seasonalities, AFAIK.
cheers
sven
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