Is it possible to use EViews MIDAS estimation in conjuction with threshold estimation?

[eoafriyie89]

Is it possible to use EViews MIDAS estimation in conjuction with threshold estimation? For example, in my threshold regression, if my dependent variable has a frequency lower than one or more of my independent variables, how can I employ MIDAS to my advantage?

[EViews Gareth]

Not built in, but basic pdl based weighting MIDAS routines are pretty easy to write manually.

[eoafriyie89]

Not built in, but basic pdl based weighting MIDAS routines are pretty easy to write manually.

Okay. Kinldy refer me to any material that can enable me do it.

[EViews Gareth]

Here's a simple program that does pdl MIDAS:

Code: Select all

!xlags = 4 !ylags=1 !horizon=2 !polyorder = 3 wfopen(wf=midas, page=quarterly) .\mydata.xlsx range="Sheet1" pageload(page=monthly) .\mydata.xlsx range="Sheet2" series x1 = dlog(value(-!horizon))*100 for !i=2 to !xlags series x!i = x1(-!i+1) next for !i=1 to !xlags series z!i=x!i(-2) next pageselect quarterly series y = dlog(value)*100 smpl 1985 2009/1/1 for !i=1 to !xlags copy(c=l) monthly\z!i x!i next for !i=1 to !polyorder series z!i=0 scalar w!i=0 next for !i=1 to !xlags for !j=1 to !polyorder z!j = z!j + !i^(!j-1)*x!i w!j = w!j + !i^(!j-1) next next group xlags z* group ylags for !i=1 to !ylags ylags.add y(-!i) next equation eq2.ls y c xlags ylags show eq2

[eoafriyie89]

Here's a simple program that does pdl MIDAS:

Code: Select all

!xlags = 4 !ylags=1 !horizon=2 !polyorder = 3 wfopen(wf=midas, page=quarterly) .\mydata.xlsx range="Sheet1" pageload(page=monthly) .\mydata.xlsx range="Sheet2" series x1 = dlog(value(-!horizon))*100 for !i=2 to !xlags series x!i = x1(-!i+1) next for !i=1 to !xlags series z!i=x!i(-2) next pageselect quarterly series y = dlog(value)*100 smpl 1985 2009/1/1 for !i=1 to !xlags copy(c=l) monthly\z!i x!i next for !i=1 to !polyorder series z!i=0 scalar w!i=0 next for !i=1 to !xlags for !j=1 to !polyorder z!j = z!j + !i^(!j-1)*x!i w!j = w!j + !i^(!j-1) next next group xlags z* group ylags for !i=1 to !ylags ylags.add y(-!i) next equation eq2.ls y c xlags ylags show eq2

Thanks a lot! This helps me to do the MIDAS, but my initial problem still stands, as this does not enable me to split my threshold data into two or more regimes, as a typical threshold estimation would have done. Kindly help!

[EViews Gareth]

I know nothing about threshold MIDAS as a theory, but if you want to run a threshold regression with some MIDAS variables, just change the bit that does a least squares regression into something that does threshold regression (I'm assuming the threshold variable isn't one of the MIDAS ones, because that might be more tricky).