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.
Search found 2 matches
- Thu Dec 27, 2018 12:08 am
- Forum: Estimation
- Topic: lag in MIDAS
- Replies: 3
- Views: 3553
- Mon Dec 24, 2018 9:52 pm
- Forum: Estimation
- Topic: lag in MIDAS
- Replies: 3
- Views: 3553
lag in MIDAS
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 c...