midas estimation
Posted: Sat Apr 30, 2016 7:46 am
Dear Sirs,
I am starting to approach midas estimates (eviews 9.5). I am not interested in forecasting.
In a traditional PDL least squares estimation I find:
- the PDL coefficients, with the usual set of information (standard error, t-statistics, prob.) for the PDL coefficients (coefficients "gamma" of the transformed variable "z")
- the coefficients of interest (beta) at the bottom of the table, together with: (i) a plot of the estimated polynomial (ii) the usual set of information (standard error, t-statistics,prob.) (iii) the "Sum of Lags"
In the Midas estimation with PDL/Almon. I find
- the PDL coefficients, with the usual set of information (standard error, t-statistics, prob.) for the PDL coefficients (coefficients "gamma" of the transformed varibale "z"), which is great.
- the coefficients of interest (beta) at the bottom of the table, together with: (i) a plot of the estimated polynomial BUT NOT the usual set of statistical information (standard error, t-statistic, prob).
The Wald test is obviously on gammas, not on betas.
I am interested in the statistical significance of the betas...is it possible to find the usual statistical information about these betas coefficients (standard error, t-statistics,prob.) or something that can help me to assess the statistical significance of the betas?
Thank you in advance.
I am starting to approach midas estimates (eviews 9.5). I am not interested in forecasting.
In a traditional PDL least squares estimation I find:
- the PDL coefficients, with the usual set of information (standard error, t-statistics, prob.) for the PDL coefficients (coefficients "gamma" of the transformed variable "z")
- the coefficients of interest (beta) at the bottom of the table, together with: (i) a plot of the estimated polynomial (ii) the usual set of information (standard error, t-statistics,prob.) (iii) the "Sum of Lags"
In the Midas estimation with PDL/Almon. I find
- the PDL coefficients, with the usual set of information (standard error, t-statistics, prob.) for the PDL coefficients (coefficients "gamma" of the transformed varibale "z"), which is great.
- the coefficients of interest (beta) at the bottom of the table, together with: (i) a plot of the estimated polynomial BUT NOT the usual set of statistical information (standard error, t-statistic, prob).
The Wald test is obviously on gammas, not on betas.
I am interested in the statistical significance of the betas...is it possible to find the usual statistical information about these betas coefficients (standard error, t-statistics,prob.) or something that can help me to assess the statistical significance of the betas?
Thank you in advance.