Search found 3 matches
- Sun Oct 29, 2017 3:05 am
- Forum: Estimation
- Topic: MIDAS Beta weight scheme unrestricted
- Replies: 4
- Views: 3833
Re: MIDAS Beta weight scheme unrestricted
I want to elaborate my question further. My independent variables are monthly while the dependent variables are daily returns. I feel (-5) as shown in the picture, is not appropriate for this, will 12 be a better choice ? secondly instead of 9 (as shown in the picture) how to generate auto lag there...
- Sat Oct 28, 2017 6:10 pm
- Forum: Estimation
- Topic: MIDAS Beta weight scheme unrestricted
- Replies: 4
- Views: 3833
Re: MIDAS Beta weight scheme unrestricted
Just how to calculate "lags for independent variable (-5) and fixed lags (9)" in eviews MIDAS. Means how much lags we include in MIDAS.
- Sat Oct 14, 2017 8:50 pm
- Forum: Estimation
- Topic: MIDAS Beta weight scheme unrestricted
- Replies: 4
- Views: 3833
MIDAS Beta weight scheme unrestricted
I am working on a paper by using eviews 10 MIDAS Beta weight scheme unrestricted. Having a data of daily vs monthly of 15 years and bit confuse about the video demonstration or released guide about the MIDAS beta that how to take the lags for independent variable (-5) and how to calculate the fixed ...