HI all, I run the midasreg command . It appears that in some cases does not work at all. Precisely,after merging the two datasets ( quarterly and monthly data named consumption_indicator_m.gdt and con_final_q.gdt respectively , I create midas lists whose names are INDICATOR1, INDICATOR2,.... up to INDICATOR12. It appears that the midasreg command does not work for cases INDICATOR4, INDICATOR5 and INDICATOR8. I enclose the two previously mentioned datasets as well as the script named consumption_midas.inp . Thanks in advance for your reply, Dionysio Lalountas