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.
MIDAS Regression- Insufficient number of observations error
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Re: MIDAS Regression- Insufficient number of observations error
Does that mean you have 20 observations and 210 variables?
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Re: MIDAS Regression- Insufficient number of observations error
Keep in mind that it is heavily recommended to have only one mixed frequency variable...
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