Mixed Frequency Regression
Posted: Wed Feb 16, 2022 8:30 am
EViews allows for different types of mixed frequency regression, but what lags should be included for higher frequency.
If we aim to forecast GDP for a particular quarter (Q1-2022), and data for a specific monthly indicator is only available for February 2021, we have to add a particular lag. For Midas: -10 = Feb, (given that 0 = Dec ....) but which lag has to be chosen for the standard ls with mixed-frequency indicators , 11 or 10?
If we aim to forecast GDP for a particular quarter (Q1-2022), and data for a specific monthly indicator is only available for February 2021, we have to add a particular lag. For Midas: -10 = Feb, (given that 0 = Dec ....) but which lag has to be chosen for the standard ls with mixed-frequency indicators , 11 or 10?
Code: Select all
'equation standard
equation eq_gdp.ls(arma=cls, optmethod=legacy) gdp c monthly\ind(-11)
'equation midas
equation eq_gdp.midas(maxlag=2, lag=auto) gdp c @ monthly\ind(-10)