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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?

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

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.

Here's a simple program that does pdl MIDAS:

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!

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).