Hi everybody,
I am new in eviews. I want to run a GarchMidas model using eviews. I conducted the Midas example shown on the eviews webpage and get similar results. However, I need to calculate a longrun component referred to as tau.
The formula for tau is shown in the attachment where c is a constant and X is the monthly macroeconomic variable. As you can see, the formula incorporates two or more regressors X but for the time being I want to apply this formula for the GDPG and emp example shown in the online video.
Phi denotes the weighting scheme depending on w1 and w2.
K is the number of variable lags.
The slope parameter θ reveals the impact the past behaviour of a macroeconomic variable has on the longrun volatility component.
My question now is how can I estimate tau in eviews given the output eviews provides? The goal is to generate a time series of monthly taus.
Furthermore, could you help me with the interpretation of the output? What does Beta01, Beta02 and Beta03 stand for and what is meant by slope? How can I see if a regressor is significant?
Thank you very much in advance.
Using Midas to estimate a GarchMidas model
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Using Midas to estimate a GarchMidas model
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 formula for tau
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 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 11848
 Joined: Tue Sep 16, 2008 5:38 pm
Re: Using Midas to estimate a GarchMidas model
EViews does not currently handle GARCHMIDAS.
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Re: Using Midas to estimate a GarchMidas model
I know. But can I somehow use the data in the Midas output to write a code in the command window to calculate tau? I do not know how to write such a formula in eviews and how to grap the variables in the Midas output to use it in the tau formula.

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 11848
 Joined: Tue Sep 16, 2008 5:38 pm
Re: Using Midas to estimate a GarchMidas model
Is there really no possibility to calculate tau even if I use the command window and enter the outcome manually?

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 11848
 Joined: Tue Sep 16, 2008 5:38 pm
Re: Using Midas to estimate a GarchMidas model
It is a completely different estimator. They're not related in any way other than name.
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Re: Using Midas to estimate a GarchMidas model
The tau formula includes the beta weighting and the slope parameter obtained from Midas. hence, tau is based on the Midas outcome but I do not know how to write this formula in eviews to generate a time series of tau.
The formula must be something like a multiplication of two vectors where one vector contains the lags and the other vector contains the coefficients i.e. the coefficients for EMPMONTH\EMP(5) in the eviews example.
I just need help on how to write such formula and how do I apply it in eviews. In the example shown online, the series emp is generated by using a code in the command window. Must I write such a code in the command window to generate a series of tau and how does it look like? That is the question.
The formula must be something like a multiplication of two vectors where one vector contains the lags and the other vector contains the coefficients i.e. the coefficients for EMPMONTH\EMP(5) in the eviews example.
I just need help on how to write such formula and how do I apply it in eviews. In the example shown online, the series emp is generated by using a code in the command window. Must I write such a code in the command window to generate a series of tau and how does it look like? That is the question.
Re: Using Midas to estimate a GarchMidas model
hi dude, I will use GarchMidas model too. well you can use this model on matlab r2015b, there is a toolbox you should add it too after you set up the matlab. https://www.mathworks.com/matlabcentral ... abtoolbox hey can we touch when we use this program, because I have some trouble too?

 Posts: 2
 Joined: Tue Sep 25, 2018 12:57 pm
Re: Using Midas to estimate a GarchMidas model
hi dude, I will use GarchMidas model too. well you can use this model on matlab r2015b, there is a toolbox you should add it too after you set up the matlab. https://www.mathworks.com/matlabcentral ... abtoolbox hey can we touch when we use this program, because I have some trouble too?
Hi mohamed ! I'm from Tunisia and I'm also using GarchMidas for my master's thesis ! Can we get in touch through emails/ facebook ?
Hi mohamed ! I'm from Tunisia and I'm also using GarchMidas for my master's thesis ! Can we get in touch through emails/ facebook ?

 Posts: 2
 Joined: Tue Sep 25, 2018 12:57 pm
Re: Using Midas to estimate a GarchMidas model
Hi ! I'll be using garchmidas for my master thesis. Since it doesn't exist on Stata/ EViews, I'll be using R studio instead. I need some help ! Can we get in touch through emails/ facebook ?
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