Midas Intra-period forecast

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Midas Intra-period forecast

Postby vikas.trades25 » Mon Sep 18, 2017 10:10 am

I wanted to know if intra-period midas forecasting is implemented in Eviews, like explained in the paper by Armesto et al (2010). The relevant section is eqn 8 in that paper.

I want to forecast a monthly series using a weekly series. Monthly series is available till July 2017 and weekly series till Aug 2017. I would like to obtain the forecasts for the monthly series for each week data in August 2017. Is this possible. Also I would like to get a long history of the weekly estimates of this monthly variable (for e.g the past 5 years). I believe I need to perform MIDAS on an expanding window.

How to do this

EViews Gareth
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Re: Midas Intra-period forecast

Postby EViews Gareth » Mon Sep 18, 2017 1:03 pm

EViews will forecast from a MIDAS equation using the straight forward calculation of the specification. That specification may include both lags and leads of the higher-frequency variable. To get the "weekly updated forecasts" you might have to re-specify the equation's leads/lags.
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