MIDAS error extracting forecasts under step option

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scoop
Posts: 2
Joined: Thu Dec 14, 2017 1:47 am

MIDAS error extracting forecasts under step option

Postby scoop » Sat Mar 03, 2018 1:53 am

Using v.9.5, y is on quarterly page:

equation zeq.midas(midwgt=step,fixedlag=3) y c @ Monthly\x1 Monthly\x2
zeq.forecast yf

This should mean yf=fitted in this case because static equation, but yf is incorrect when compared with table of residuals & fitted in zeq object. But works perfectly ok under Almon option:

equation zeq.midas(midwgt=almon,polynomial=3,fixedlag=3) y c @ Monthly\x1 Monthly\x2
zeq.forecast yf

Also makeresids works ok for both. Haven't tried other MIDAS estimation options for midwgt, etc. Is it a bug or is it me? Thanks in advance for any advice.

Kind regards

EViews Gareth
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Re: MIDAS error extracting forecasts under step option

Postby EViews Gareth » Sat Mar 03, 2018 10:13 am

Thanks, we'll fix.
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EViews Gareth
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Posts: 11844
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Re: MIDAS error extracting forecasts under step option

Postby EViews Gareth » Mon Mar 19, 2018 2:21 pm

A fix will be available in the next patch.
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scoop
Posts: 2
Joined: Thu Dec 14, 2017 1:47 am

Re: MIDAS error extracting forecasts under step option

Postby scoop » Wed Mar 21, 2018 4:50 pm

Many thanks Gareth.


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