## MIDAS VAR

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alinemouracs
Posts: 11
Joined: Mon Jan 09, 2017 11:28 am

### MIDAS VAR

Hello,

I would like to know if is it possible to estimate MIDAS with unrestricted VAR? Or is it possible estimate unrestricted VAR with mixed frequency data?

Thanks.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 12341
Joined: Tue Sep 16, 2008 5:38 pm

### Re: MIDAS VAR

alinemouracs wrote:Hello,

I would like to know if is it possible to estimate MIDAS with unrestricted VAR? Or is it possible estimate unrestricted VAR with mixed frequency data?

Thanks.

Not yet...

alinemouracs
Posts: 11
Joined: Mon Jan 09, 2017 11:28 am

### Re: MIDAS VAR

Hi,

I estimated an unrestricted VAR with mixed data sample, and some results were generated. How did I do that?

Representations:

Estimation Proc:
===============================
LS(NOCONST) 1 2 3 4 5 6 7 8 9 10 L DIA\R @ DIAST7\RI DIAST5\DP MES\SE MES\EP TRIMST\VP MES\IB

VAR Model:
===============================
L = C(1,1)*L(-1) + C(1,2)*L(-2) + C(1,3)*L(-3) + C(1,4)*L(-4) + C(1,5)*L(-5) + C(1,6)*L(-6) + C(1,7)*L(-7) + C(1,8)*L(-8) + C(1,9)*L(-9) + C(1,10)*L(-10) + C(1,11)*DIA\R(-1) + C(1,12)*DIA\R(-2) + C(1,13)*DIA\R(-3) + C(1,14)*DIA\R(-4) + C(1,15)*DIA\R(-5) + C(1,16)*DIA\R(-6) + C(1,17)*DIA\R(-7) + C(1,18)*DIA\R(-8) + C(1,19)*DIA\R(-9) + C(1,20)*DIA\R(-10) + C(1,21)*DIAST7\RI + C(1,22)*DIAST5\DP + C(1,23)*MES\SE + C(1,24)*MES\EP + C(1,25)*TRIMST\VP + C(1,26)*MES\IB

DIA\R = C(2,1)*L(-1) + C(2,2)*L(-2) + C(2,3)*L(-3) + C(2,4)*L(-4) + C(2,5)*L(-5) + C(2,6)*L(-6) + C(2,7)*L(-7) + C(2,8)*L(-8) + C(2,9)*LL(-9) + C(2,10)*L(-10) + C(2,11)*DIA\R(-1) + C(2,12)*DIA\R(-2) + C(2,13)*DIA\R(-3) + C(2,14)*DIA\R(-4) + C(2,15)*DIA\R(-5) + C(2,16)*DIA\R(-6) + C(2,17)*DIA\R(-7) + C(2,18)*DIA\R(-8) + C(2,19)*DIA\R(-9) + C(2,20)*DIA\R(-10) + C(2,21)*DIAST7\RI + C(2,22)*DIAST5\DP + C(2,23)*MES\SE + C(2,24)*MES\EP + C(2,25)*TRIMST\VP + C(2,26)*MES\IB

Thanks.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 12341
Joined: Tue Sep 16, 2008 5:38 pm

### Re: MIDAS VAR

It just did automatic frequency conversion of those variables. Perfectly valid method, and commonly used way of handling mixed frequency data, but it isn’t a true “mixed frequency VAR”.