Nowcasting with MIDAS
Posted: Wed Jul 12, 2023 2:40 pm
Hello everyone.
How are you?
I'm really struggling with this problem, and I would really appreciate some help.
Suppose that I want to forecast 2022Q3 GDP using a monthly variable for industrial production (let´s call it IP), the first lag of GDP and a constant with MIDAS. Now, let's consider that I'm in July/22 and have the value for the July/22 IP, and I want to forecast my 2022Q3 GDP using all data for IP until July/22 (consider a sample from 2010Q1-2022Q2 for GDP and 2010M1-2022M7 for IP). Considering that, my idea was to use two lags of IP in my Midas estimation. In the next month, with the August/22 IP in hand, I would reduce lag structure to one and so on.
In Eviews, we can can estimate the equation below without problem for the sample 2010Q1-2022Q2:
equation eq_umid.midas(midwgt=umidas, fixedlag=3) gdp c gdp(-1) @monthly\IP(-2)
The problem is when I try to forecast the GDP for 2022Q3, because I receive the message: "Unable to compute due to missing data". But this make no sense to me, given that I have all data that I need with the IP with two lags (as far as I know, the zero lag is equivalent to the last month of the quarter, so with two lags of IP, and considering I want to forecast the GDP for 2022Q3, Eviews should be using the data of IP of 2022M5, 2022M6 and 2022M7 for the prediction).
I don't know if anyone has ever faced a similar problem, but I would really appreciate some help.
Thank you very much.
How are you?
I'm really struggling with this problem, and I would really appreciate some help.
Suppose that I want to forecast 2022Q3 GDP using a monthly variable for industrial production (let´s call it IP), the first lag of GDP and a constant with MIDAS. Now, let's consider that I'm in July/22 and have the value for the July/22 IP, and I want to forecast my 2022Q3 GDP using all data for IP until July/22 (consider a sample from 2010Q1-2022Q2 for GDP and 2010M1-2022M7 for IP). Considering that, my idea was to use two lags of IP in my Midas estimation. In the next month, with the August/22 IP in hand, I would reduce lag structure to one and so on.
In Eviews, we can can estimate the equation below without problem for the sample 2010Q1-2022Q2:
equation eq_umid.midas(midwgt=umidas, fixedlag=3) gdp c gdp(-1) @monthly\IP(-2)
The problem is when I try to forecast the GDP for 2022Q3, because I receive the message: "Unable to compute due to missing data". But this make no sense to me, given that I have all data that I need with the IP with two lags (as far as I know, the zero lag is equivalent to the last month of the quarter, so with two lags of IP, and considering I want to forecast the GDP for 2022Q3, Eviews should be using the data of IP of 2022M5, 2022M6 and 2022M7 for the prediction).
I don't know if anyone has ever faced a similar problem, but I would really appreciate some help.
Thank you very much.