MIDAS Regression- Insufficient number of observations error

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saranya
Posts: 41
Joined: Wed Nov 16, 2016 5:51 am

MIDAS Regression- Insufficient number of observations error

Postby saranya » Mon May 15, 2017 11:21 pm

Hi,

Is there any restriction on the maximum number of variables that I can consider while running an Unrestricted MIDAS or Almon lag model? Currently I have 210 independent variables, I have interpolated them as well. so there are no missing entries. However, I still get "Insufficient number of observations error. I've data from 2012 q2 to 2017q1. Kindly help.

startz
Non-normality and collinearity are NOT problems!
Posts: 3775
Joined: Wed Sep 17, 2008 2:25 pm

Re: MIDAS Regression- Insufficient number of observations error

Postby startz » Tue May 16, 2017 5:43 am

Does that mean you have 20 observations and 210 variables?

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13307
Joined: Tue Sep 16, 2008 5:38 pm

Re: MIDAS Regression- Insufficient number of observations error

Postby EViews Gareth » Tue May 16, 2017 6:17 am

Keep in mind that it is heavily recommended to have only one mixed frequency variable...
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