lag in MIDAS

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Jcool
Posts: 2
Joined: Sun Dec 09, 2018 11:38 pm

lag in MIDAS

Postby Jcool » Mon Dec 24, 2018 9:52 pm

Hi,
I am currently using MIDAS in Eviews. Looking at the example (see attached) on Eviews web, the estimated result shows the estimated coefficients of the high-frequency independent variables and it starts from lag1 onwards.

Working on my data (see the file under the name of "query"), I couldn't get Eviews to show the estimated coefficients of the high-frequency independent variables from lag1. May I know if there is a way that I can adjust the setting to show estimated coefficients of the high-frequency independent variables from lag1 onwards?

Thank you.
Attachments
query.png
query.png (67.28 KiB) Viewed 2919 times
Example_on_Eviews_web.png
Example_on_Eviews_web.png (50.54 KiB) Viewed 2919 times

EViews Gareth
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Joined: Tue Sep 16, 2008 5:38 pm

Re: lag in MIDAS

Postby EViews Gareth » Tue Dec 25, 2018 1:17 am

No, we changed the labeling at some point to more accurately reflect. In the bottom picture you should minus 1 from the lag definitions.
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Jcool
Posts: 2
Joined: Sun Dec 09, 2018 11:38 pm

Re: lag in MIDAS

Postby Jcool » Thu Dec 27, 2018 12:08 am

Thanks for the information.

May I please check with you if the estimated coefficient of lag0 captures the contemporaneous effect between the high-frequency (independent variable) and low-frequency (dependent variable)?

Thank you.

EViews Gareth
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Posts: 13294
Joined: Tue Sep 16, 2008 5:38 pm

Re: lag in MIDAS

Postby EViews Gareth » Thu Dec 27, 2018 10:14 am

Depends on what you mean by contemporaneous (that term is complicated in a mixed frequency setting).

Here's a program that manually estimates an Almon lag model and computes the lags. You can see what's going on.

Code: Select all

!xlags = 4
!ylags=0
!horizon=-2
!polyorder = 3
close @wf
wfopen(wf=midas, page=quarterly) .\mydata.xlsx range="Sheet1"
pageload(page=monthly) .\mydata.xlsx range="Sheet2"
series x = dlog(value)*100
series x1 = dlog(value(-!horizon))*100

'create monthly lags
for !i=2 to !xlags
   series x!i = x1(-!i+1) 
next
for !i=1 to !xlags
   series z!i=x!i(-2)
next

'copy monthly data over as individual time series, one for each lag.
pageselect quarterly
series y = dlog(value)*100
smpl 1985 2009/1/1

for !i=1 to !xlags
   copy(c=l) monthly\z!i x!i
next


'create polynomial
for !i=1 to !polyorder
   series z!i=0
next
for !i=1 to !xlags
   for !j=1 to !polyorder
      z!j = z!j + !i^(!j-1)*x!i
   next
next

group xlags z*

group ylags
for !i=1 to !ylags
   ylags.add y(-!i)
next

equation eq2.ls y c xlags ylags

show eq2

'calculate monthly lags
matrix(!xlags, !polyorder) a
for !i=1 to !xlags
   for !j=1 to !polyorder
      A(!i,!j) = !i^(!j-1)
   next
next
'monthly lags = A*midas coefficients from equation.
vector mlags = A*@subextract(eq2.@coefs, 2,1,1+!polyorder,1)
show mlags

equation eq1.midas y c @ monthly\x

show eq1
Attachments
mydata.xlsx
(47.65 KiB) Downloaded 217 times
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