Mixed Data Sampling (MIDAS)

MIDAS entry to Wikipedia    (Entry written by Dirk Nachbar)

Regression models involving data sampled at different frequencies are of general interest. In the document link below we describe Matlab code for running such regressions based on a framework put forward in recent work by Ghysels, Santa-Clara, and Valkanov (2002), Ghysels, Santa- Clara, and Valkanov (2006) and Andreou, Ghysels, and Kourtellos (2008a) using so called MIDAS, meaning Mi(xed) Da(ta) S(ampling), regressions.

Matlab Toolbox for Mixed Sampling Frequency Data Analysis using MIDAS Regression Models   

The code can be obtained by contacting me via email: eghysels@unc.edu