EViews.com

Here's a simple program that does pdl MIDAS: !xlags = 4 !ylags=1 !horizon=2 !polyorder = 3 wfopen(wf=midas, page=quarterly) .\mydata.xlsx range="Sheet1" pageload(page=monthly) .\mydata.xlsx range="Sheet2" series x1 = dlog(value(-!horizon))*100 for !i=2 to !xlags series x!i = x1(...

Not built in, but basic pdl based weighting MIDAS routines are pretty easy to write manually.

Okay. Kinldy refer me to any material that can enable me do it.

Is it possible to use EViews MIDAS estimation in conjuction with threshold estimation? For example, in my threshold regression, if my dependent variable has a frequency lower than one or more of my independent variables, how can I employ MIDAS to my advantage?