MIDAS REGRESSION WITH DAILY DATA
Posted: Sat Feb 25, 2017 9:27 am
I am estimating a MIDAS regression with data on a daily, monthly, and quarterly frequency. The dependent variable is quarterly. When I add a maximum of 90 lags to be selected automatically, the program closes. When I add a maximum of 10 lags to be selected automatically, the program tries to estimate, but sends a memory error message. I would like to understand why this problem happens.
thanks
thanks