midas regression-forecasting

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saranya
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midas regression-forecasting

Postby saranya » Tue May 23, 2017 11:07 pm

Hi,
Currently I ran a MIDAS regression with a dependent variable "y", observed at a lower frequency (quarterly) and with an independent variable "x" observed at a higher frequency (monthly). Now is it possible to forecast "y" on a monthly basis from the results?

EViews Gareth
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Re: midas regression-forecasting

Postby EViews Gareth » Tue May 23, 2017 11:40 pm

You can forecast Y quarterly for any periods where you have the monthly X available.
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saranya
Posts: 41
Joined: Wed Nov 16, 2016 5:51 am

Re: midas regression-forecasting

Postby saranya » Wed May 24, 2017 12:03 am

was able to do that Gareth. My question is whether we can do it the other way- ie, if I have monthly values, can I forecast the dependent variable also on a monthly basis?

EViews Gareth
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Re: midas regression-forecasting

Postby EViews Gareth » Wed May 24, 2017 12:26 am

No, that's not what MIDAS does.
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