Hello everyone I am running an asymmetric MIDAS model with a monthly dependent (y1) variable and 2 daily high frequency (pos and neg) variable (positive and negative). If i run the MIDAS model like this for 60 lags
Low freq : y1
High Frequency: page\pos page\neg
I get an "OVERFLOW" error
However if I reverse the order like this:
low freq: y1
High frequency: page\neg page\pos
The model converges easily but the slopes and the betas are almost the same with little asymmetry. Please help. I have to start with the page\pos first according to the paper that I am following.
Asymmetric MIDAS
Moderators: EViews Gareth, EViews Moderator
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13313
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Re: Asymmetric MIDAS
Thanks @Eviews Gareth.
The workfile has the equations I want to run. I tried re-running the models but I get "OVERFLOW". Beta weighting function, restricted endpoints.
The workfile has the equations I want to run. I tried re-running the models but I get "OVERFLOW". Beta weighting function, restricted endpoints.
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- fupdatedeviewsworkfile.wf1
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13313
- Joined: Tue Sep 16, 2008 5:38 pm
Re: Asymmetric MIDAS
I did but I get very different results and not similar to the authors output.
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13313
- Joined: Tue Sep 16, 2008 5:38 pm
Re: Asymmetric MIDAS
Not sure I can help with that. The order of the high frequency variables shouldn't (and doesn't) matter.
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