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- Mixed-data_sampling abstract "Mixed-data sampling (MIDAS) is an econometric regression or filtering method developed by Ghysels et al. A simple regression example has the regressor appearing at a higher frequency than the regressand:where y is the regressand, x is the regressor, m denotes the frequency – for instance if y is yearly is quarterly – is the disturbance and is a lag distribution, for instance the Beta function or the Almon Lag. The regression models can be viewed in some cases as substitutes for the Kalman filter when applied in the context of mixed frequency data. Bai, Ghysels and Wright (2010) examine the relationship between MIDAS regressions and Kalman filter state space models applied to mixed frequency data. In general, the latter involve a system of equations, whereas in contrast MIDASregressions involve a (reduced form) single equation. As a consequence, MIDAS regressions might be less efficient, but also less prone to specification errors. In cases where the MIDAS regression is only an approximation, the approximation errors tend to be small.".
- Mixed-data_sampling wikiPageExternalLink midasr.
- Mixed-data_sampling wikiPageExternalLink 45150-midas-regression.
- Mixed-data_sampling wikiPageExternalLink ~eghysels.
- Mixed-data_sampling wikiPageID "1508682".
- Mixed-data_sampling wikiPageRevisionID "601947595".
- Mixed-data_sampling subject Category:Econometric_models.
- Mixed-data_sampling subject Category:Econometrics.
- Mixed-data_sampling subject Category:Statistical_forecasting.
- Mixed-data_sampling subject Category:Time_series_analysis.
- Mixed-data_sampling subject Category:Time_series_models.
- Mixed-data_sampling comment "Mixed-data sampling (MIDAS) is an econometric regression or filtering method developed by Ghysels et al. A simple regression example has the regressor appearing at a higher frequency than the regressand:where y is the regressand, x is the regressor, m denotes the frequency – for instance if y is yearly is quarterly – is the disturbance and is a lag distribution, for instance the Beta function or the Almon Lag.".
- Mixed-data_sampling label "Mixed-data sampling".
- Mixed-data_sampling sameAs m.056t7t.
- Mixed-data_sampling sameAs Q6883960.
- Mixed-data_sampling sameAs Q6883960.
- Mixed-data_sampling wasDerivedFrom Mixed-data_sampling?oldid=601947595.
- Mixed-data_sampling isPrimaryTopicOf Mixed-data_sampling.