EViews.com

Hello everyone I am running an asymmetric MIDAS model with a monthly dependent (y1) variable and 2 daily high frequency (pos and neg) variable (positive and negative). If i run the MIDAS model like this for 60 lags

Low freq : y1
High Frequency: page\pos page\neg

I get an "OVERFLOW" error

However if I reverse the order like this:

low freq: y1
High frequency: page\neg page\pos

The model converges easily but the slopes and the betas are almost the same with little asymmetry. Please help. I have to start with the page\pos first according to the paper that I am following.

Could you provide the workfile?

Thanks @Eviews Gareth.

The workfile has the equations I want to run. I tried re-running the models but I get "OVERFLOW". Beta weighting function, restricted endpoints.

Try switching the optimization method to BFGS

I did but I get very different results and not similar to the authors output.

Not sure I can help with that. The order of the high frequency variables shouldn't (and doesn't) matter.