eric-qian
commented
4 years ago Hi @AJKBajwa, thank you for your interest! The tent structure is simply a product of the first order log-approximation of growth rates. Mariano and Murasawa (2003) contains a more in-depth discussion (see https://onlinelibrary.wiley.com/doi/abs/10.1002/jae.695 for details).
In principle, a similar scheme could be used for higher frequencies.
Dear @brandynbok and @eric-qian ,
Thank you for this code. You have done an amazing work.
I am currently trying to incorporate daily and weekly data into the current model. The research paper by Modugno is a bit difficult to understand.
In the code : You give a tent type structure from quarterly to monthly r_mat = [2, -1, 0, 0, 0; 3, 0, -1, 0, 0; 2, 0, 0, -1, 0; 1, 0, 0, 0, -1]
Could you explain where this come from and how I can change this for my daily/ weekly model.