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MIDAS Beta weight scheme unrestricted
Posted: Sat Oct 14, 2017 8:50 pm
by usmanuaf
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
Re: MIDAS Beta weight scheme unrestricted
Posted: Sat Oct 14, 2017 10:23 pm
by EViews Gareth
A detailed guide of what? It isn't really clear what you're asking.
Re: MIDAS Beta weight scheme unrestricted
Posted: Sat Oct 28, 2017 6:10 pm
by usmanuaf
Just how to calculate "lags for independent variable (-5) and fixed lags (9)" in eviews MIDAS. Means how much lags we include in MIDAS.
Re: MIDAS Beta weight scheme unrestricted
Posted: Sat Oct 28, 2017 6:40 pm
by EViews Gareth
How many lags you want to include is entirely up to you and depends on the economics of your model
Re: MIDAS Beta weight scheme unrestricted
Posted: Sun Oct 29, 2017 3:05 am
by usmanuaf
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.