Mixed data sampling (MIDAS) regression models

DOI10.1016/bs.host.2019.01.005zbMath1443.62258OpenAlexW2921229681MaRDI QIDQ3295740

Vaidotas Zemlys-Balevičius, Eric Ghysels, Virmantas Kvedaras

Publication date: 10 July 2020

Published in: Handbook of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/bs.host.2019.01.005

zbMATH Keywords

semiparametric regressionstationary processestime series dataindex modelsmixed frequency datasmooth transition modelsMIDAS regressions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10)

Related Items (1)

DTHB3D_Reg: Dynamic Truncated Hierarchical B-Spline Based 3D Nonrigid Image Registration

Uses Software

• R
• midasr

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