MIDAS Regression- Insufficient number of observations error
Posted: Mon May 15, 2017 11:21 pm
Hi,
Is there any restriction on the maximum number of variables that I can consider while running an Unrestricted MIDAS or Almon lag model? Currently I have 210 independent variables, I have interpolated them as well. so there are no missing entries. However, I still get "Insufficient number of observations error. I've data from 2012 q2 to 2017q1. Kindly help.
Is there any restriction on the maximum number of variables that I can consider while running an Unrestricted MIDAS or Almon lag model? Currently I have 210 independent variables, I have interpolated them as well. so there are no missing entries. However, I still get "Insufficient number of observations error. I've data from 2012 q2 to 2017q1. Kindly help.