For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.
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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
- MIDAS.jpg (61.97 KiB) Viewed 675 times
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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