MIDAS Beta weight scheme unrestricted

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usmanuaf
Posts: 3
Joined: Sat Oct 14, 2017 4:59 am

MIDAS Beta weight scheme unrestricted

Postby usmanuaf » Sat Oct 14, 2017 8:50 pm

I am working on a paper by using eviews 10 MIDAS Beta weight scheme unrestricted. Having a data of daily vs monthly of 15 years and bit confuse about the video demonstration or released guide about the MIDAS beta that how to take the lags for independent variable (-5) and how to calculate the fixed lags (9). I need a datailed guide. Thanks
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MIDAS.jpg
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EViews Gareth
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Re: MIDAS Beta weight scheme unrestricted

Postby EViews Gareth » Sat Oct 14, 2017 10:23 pm

A detailed guide of what? It isn't really clear what you're asking.
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usmanuaf
Posts: 3
Joined: Sat Oct 14, 2017 4:59 am

Re: MIDAS Beta weight scheme unrestricted

Postby usmanuaf » Sat Oct 28, 2017 6:10 pm

Just how to calculate "lags for independent variable (-5) and fixed lags (9)" in eviews MIDAS. Means how much lags we include in MIDAS.

EViews Gareth
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Re: MIDAS Beta weight scheme unrestricted

Postby EViews Gareth » Sat Oct 28, 2017 6:40 pm

How many lags you want to include is entirely up to you and depends on the economics of your model
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usmanuaf
Posts: 3
Joined: Sat Oct 14, 2017 4:59 am

Re: MIDAS Beta weight scheme unrestricted

Postby usmanuaf » Sun Oct 29, 2017 3:05 am

I want to elaborate my question further. My independent variables are monthly while the dependent variables are daily returns. I feel (-5) as shown in the picture, is not appropriate for this, will 12 be a better choice ? secondly instead of 9 (as shown in the picture) how to generate auto lag there? By AIC? Most importantly I want to use unrestricted beta weighting scheme. In this scenario autolag is not working. So I need advice. Thank you.


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