MIDAS REGRESSION

[alinemouracs]

HI,
I have estimated a panel regression using MIDAS and I've got the regression results all right, but I would like to know what kind of panel is that, i.e. is it a pooled regression, fixed effects or random effects estimation? This is not explained in the estimation options nor in the results.

Thanks

[EViews Gareth]

It is exactly the same as a non-panel MIDAS. There is nothing special in there for panels.

[Sompisi]

Hi,

I am trying to use the a MIDAS regression to see the potential impact of capital flows on emerging markets. I need some assistance with a few questions:

1) How do I decide whether to use the Almon PDL, Beta or Step-wise MIDAS?
2) If I have quarterly and monthly data, how do I interpret the MIDAS output?
3) If I am using panel data for my MIDAS regression, do they variables have to have returns generated for the variables in order for me to run the regression properly?
4) How do I select the lag length?

Thank you.

[alinemouracs]

Hi,

I would like to know too.

Tks,

Hi,

I am trying to use the a MIDAS regression to see the potential impact of capital flows on emerging markets. I need some assistance with a few questions:

1) How do I decide whether to use the Almon PDL, Beta or Step-wise MIDAS?
2) If I have quarterly and monthly data, how do I interpret the MIDAS output?
3) If I am using panel data for my MIDAS regression, do they variables have to have returns generated for the variables in order for me to run the regression properly?
4) How do I select the lag length?

Thank you.