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Dear Gareth, thank you for your prompt answer. Let me share more details on my problem. As you said, there are two, separate, estimation types (Switching vs Mixed FRequency). I have mixed frequency data, hence I was using the MF-VAR. However I was thinking about 2 possible switching regimes. Therefo...

Dear Sirs, In Eviews 11 when I choose "VAR estimation", the VAR specification window pops-up; then I choose "Switching VAR" as the "VAR type". In the Switching VAR, Eviews lets me put high-frequency variables and low-frequency variables (in the exogenous/endogenous vari...

Nice point. Thank you very much! I'll check the applicability to my research and I'll try.
Thank you again!

Dear Sirs, I am starting to approach midas estimates (eviews 9.5). I am not interested in forecasting. In a traditional PDL least squares estimation I find: - the PDL coefficients, with the usual set of information (standard error, t-statistics, prob.) for the PDL coefficients (coefficients "ga...