MIDAS Matlab Toolbox
Repack of Mi(xed) Da(ta) S(ampling) regressions (MIDAS) written by Eric Ghysels and collaborators
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Acknowledgements
Inspired: "MIDAS Analytic'' extension to the MIDAS MATLAB Toolbox
General Information
- Version 2.4.0 (1.12 MB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 2.4.0 | Add Legendre polynomial specification in the MIDAS_ADL function. Legendre polynomials are mutually orthogonal and avoid multicollinearity, compared to the non-orthogonal Almon power polynomials. |
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| 2.3.0 | Add a name-value pair 'DiscountIncrease' to MIDAS_ADL. |
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| 2.2.0 | Fix a bug in DccMIDAS FMINSEARCH when MATLAB Optimization Toolbox is not available. |
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| 2.1.0 | version2.1 Add MIDAS quantile regression |
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| 2.0.0 | Package written by Eric Ghysels and collaborators |
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| 1.5.0 | Support Ylag as a cell array such as Ylag = {3,6,9} for flexible low frequency lagged regressors
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| 1.2.0 | Update the user guide (version Dec 21, 2014) |
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| 1.1.0 | 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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| 1.0.0 |
