The MIDAS Touch: Mixed Data Sampling Regression Models

Article, Preprint OPEN
Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen;
  • Publisher: eScholarship, University of California

We introduce Mixed Data Sampling (henceforth MIDAS) regression models. The regressions involve time series data sampled at different frequencies. Technically speaking MIDAS models specify conditional expectations as a distributed lag of regressors recorded at some highe... View more
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