Page 1 of 1

midas regression-forecasting

Posted: Tue May 23, 2017 11:07 pm
by saranya
Hi,
Currently I ran a MIDAS regression with a dependent variable "y", observed at a lower frequency (quarterly) and with an independent variable "x" observed at a higher frequency (monthly). Now is it possible to forecast "y" on a monthly basis from the results?

Re: midas regression-forecasting

Posted: Tue May 23, 2017 11:40 pm
by EViews Gareth
You can forecast Y quarterly for any periods where you have the monthly X available.

Re: midas regression-forecasting

Posted: Wed May 24, 2017 12:03 am
by saranya
was able to do that Gareth. My question is whether we can do it the other way- ie, if I have monthly values, can I forecast the dependent variable also on a monthly basis?

Re: midas regression-forecasting

Posted: Wed May 24, 2017 12:26 am
by EViews Gareth
No, that's not what MIDAS does.