Cointegrating MiDaS Regressions and a MiDaS Test

Preprint OPEN
J. Isaac Miller;
  • Subject: cointegration, mixed-frequency series, mixed data sampling
    • jel: jel:C12 | jel:C22 | jel:C13
    arxiv: Statistics::Methodology

This paper introduces cointegrating mixed data sampling (CoMiDaS) regressions, generalizing nonlinear MiDaS regressions in the extant literature. Under a linear mixed-frequency data-generating process, MiDaS regressions provide a parsimoniously parameterized nonlinear a... View more
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