set echo off
set messages off

/* ADL-MIDAS test examples from Eric Ghysels' MIDAS
   Toolbox, using the midasreg command with high-frequency
   lags predefined
*/

open gdp_midas.gdt --quiet

# form list of high-frequency log differences
list dX = ld_payems*
# and a list of their lags
list dXL = hflags(3, 11, dX)

# to collect forecasts
matrix FC = {}

# to inflect the "fcast" command
setopt fcast persist --out-of-sample --static --quiet

# estimation sample
smpl 1985:1 2009:1

print "=== U-MIDAS ==="
midasreg ld_qgdp 0 ld_qgdp(-1) ; mdsl(dXL, 0)
printf "midas coefficients:\n%10.5f\n", $model.midas_coeffs[,1]
fcast
FC ~= $fcast

print "=== beta (zero last lag) ==="
matrix theta = {1,5}
midasreg ld_qgdp 0 ld_qgdp(-1) ; mdsl(dXL, 2, theta)
printf "midas coefficients:\n%10.5f\n", $model.midas_coeffs[,1]
fcast
FC ~= $fcast

print "=== beta (non-zero last lag) ==="
theta = {1,1,0}
midasreg ld_qgdp 0 ld_qgdp(-1) ; mdsl(dXL, 3, theta)
printf "midas coefficients:\n%10.5f\n", $model.midas_coeffs[,1]
fcast
FC ~= $fcast

print "=== normalized exponential Almon ==="
theta = {0,0}
midasreg ld_qgdp 0 ld_qgdp(-1) ; mdsl(dXL, 1, theta)
printf "midas coefficients:\n%10.5f\n", $model.midas_coeffs[,1]
fcast
FC ~= $fcast

print "=== Almon polynomial ==="
theta = {0,0,0,0}
midasreg ld_qgdp 0 ld_qgdp(-1) ; mdsl(dXL, 4, theta)
printf "midas coefficients:\n%10.5f\n", $model.midas_coeffs[,1]
fcast --out-of-sample --static --quiet
FC ~= $fcast

# forecast range
smpl 2009:2 2011:2
matrix my = {ld_qgdp}
print "Forecast RMSEs:"
printf "  U-MIDAS %.4f\n", fcstats(my, FC[,1])[2]
printf "  Beta0   %.4f\n", fcstats(my, FC[,2])[2]
printf "  BetaNZ  %.4f\n", fcstats(my, FC[,3])[2]
printf "  neAlmon %.4f\n", fcstats(my, FC[,4])[2]
printf "  Almonp  %.4f\n", fcstats(my, FC[,5])[2]

# revert to estimation sample
smpl 1985:1 2009:1