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MIDAS regression

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MIDAS regression

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21 Jan 2014 (Updated )

repack of the Mi(xed) Da(ta) S(ampling) regressions (MIDAS) programs written by Eric Ghysels

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Description

The mixed frequency regression studies the explanatory power of high frequency variables on the low frequency outcome. The weights associated with high frequency regressors are usually assumed some functional form. This toolbox is a repack of the Mi(xed) Da(ta) S(ampling) regressions (MIDAS) programs written by Eric Ghysels. It supports ADL-MIDAS type regressions.
Syntax:
[...] = MIDAS_ADL(DataY,DataYdate,DataX,DataXdate)
[...] = MIDAS_ADL(DataY,DataYdate,DataX,DataXdate,name,value,...)

Required Products Optimization Toolbox
MATLAB release MATLAB 8.2 (R2013b)
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Updates
08 Apr 2014

Allow leads and lags specification 'horizon' be negative.

Add true out-of-sample forecast; results are restored in the last output argument 'Extended Forecast' struct.

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