I'm really struggling with this problem.
Suppose I want to forecast 2022Q3 GDP using a monthly variable for industrial production (let´s call it IP), the first lag of GDP and a constant with MIDAS. Now, let's consider that I'm in July/22 and have the value for the July/22 IP, and I want to forecast my 2022Q3 GDP using all data for IP until July/22 (consider a sample from 2010Q1-2022Q2 for GDP and 2010M1-2022M7 for IP). Considering that, my idea was to use two lags of IP in my Midas estimation. In the next month, with the August/22 IP in hand, I would reduce lag structure to one and so on.
In Eviews, we can can estimate the equation below without problem for the sample 2010Q1-2022Q2:
equation eq_umid.midas(midwgt=umidas, fixedlag=12) gdp c gdp(-1) @ monthly\IP(-2)
The problem is when I try to forecast the GDP for 2022Q3. I receive a message: "Unable to compute due to missing data". But this make no sense to me, given that I have all data that I need with the IP with two lags.
I don't know if anyone has ever faced a similar problem, but I would really appreciate some help.
Thank you very much.