midas regression-forecasting
Posted: Tue May 23, 2017 11:07 pm
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?
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?