MIDAS error extracting forecasts under step option
Posted: 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
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