Mixed data sampling (MIDAS) regression models

DOI10.1016/BS.HOST.2019.01.005MaRDI QIDQ3295740zbMATH OpenOpenAlexFDO

Authors Eric Ghysels, Virmantas Kvedaras, Vaidotas Zemlys-Balevičius

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

index modelsMIDAS regressionsmixed frequency datasemiparametric regressionsmooth transition modelsstationary processestime series data

Mathematics Subject Classification ID

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

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Cited in

(14)

• MIDAS Regressions: Further Results and New Directions
• Bayesian MIDAS penalized regressions: estimation, selection, and prediction
• Dynamic panels with MIDAS covariates: nonlinearity, estimation and fit
• A self-normalizing approach to the specification test of mixed-frequency models
• Forecasting mixed-frequency time series with ECM-MIDAS models
• Reverse restricted MIDAS model with application to US interest rate forecasts
• DTHB3D\_Reg: dynamic truncated hierarchical B-spline based 3D nonrigid image registration
• Forecasting inflation rates using daily data: a nonparametric MIDAS approach
• Macroeconomic forecasting evaluation of MIDAS models
• Target PCA: transfer learning large dimensional panel data
• Semiparametric volatility model with varying frequencies
• Fully nonparametric MIDAS: a new approach for nonparametric mixed frequency time series regression
• Flexible Bayesian MIDAS: Time-Variation, Group-Shrinkage and Sparsity
• Regression models with mixed sampling frequencies

Describes a project that uses

Uses Software

• midasr
• R

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