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MIDAS error extracting forecasts under step option

Posted: Sat Mar 03, 2018 1:53 am
by scoop
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

Re: MIDAS error extracting forecasts under step option

Posted: Sat Mar 03, 2018 10:13 am
by EViews Gareth
Thanks, we'll fix.

Re: MIDAS error extracting forecasts under step option

Posted: Mon Mar 19, 2018 2:21 pm
by EViews Gareth
A fix will be available in the next patch.

Re: MIDAS error extracting forecasts under step option

Posted: Wed Mar 21, 2018 4:50 pm
by scoop
Many thanks Gareth.