midasr

MaRDI QIDQ33703swMATHCRANFDO

Authors Vaidotas Zemlys-balevičius, Virmantas Kvedaras

Last update 7 April 2025

Copyright license GNU General Public License, version 2.0, MIT license, File License

Software version identifier 0.8, PACKAGES.rds, 0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.9

Official website https://cran.r-project.org/web/packages/midasr/index.html

Source code repository https://github.com/cran/midasr

Description

Methods and tools for mixed frequency time series data analysis. Allows estimation, model selection and forecasting for MIDAS regressions.

Cited in

(5)

• Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
• Monitoring banking system connectedness with big data
• Mixed data sampling (MIDAS) regression models
• MIDAS Regressions
• Reverse restricted MIDAS model with application to US interest rate forecasts

This page was built for software: midasr