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"MIDAS Analytic'' extension to the MIDAS MATLAB Toolbox

version 0.1.0 (531 KB) by Alexander Kostrov
"MIDAS Analytic'' extension supports estimating MIDAS regressions via MIDAS-NLS with revised optimization.

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Updated 16 Oct 2020

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The "MIDAS Analytic'' extension contains functions to perform MIDAS regression analysis with Beta or Exponential Almon lags and to make predictions based on the estimated parameters.
The user manual attached explains how to handle the main functions for
- a classical MIDAS regression (incl. DL-MIDAS, ADL-MIDAS, and FADL-MIDAS): reg_midas_analytic,
- a multivariate MIDAS regression: reg_mvmidas_analytic,
- a MIDAS logit regression: logit_midas_analytic,
- a MIDAS VAR regression: var_midas_analytic.
This extension can be used autonomously or alongside the MIDAS MATLAB Toolbox which is available on the MATLAB Central File Exchange (No. 45150) webpage.

Cite As

A. Kostrov (2020) Estimating MIDAS regressions via MIDAS-NLS with revised optimization. Working paper. https://www.researchgate.net/publication/342364491

MATLAB Release Compatibility
Created with R2016b
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Acknowledgements

Inspired by: MIDAS Matlab Toolbox

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