Mixed Data Sampling (MIDAS)

MIDAS entry to Wikipedia    (Entry written by Dirk Nachbar)

The (old) Matlab code was written by Arthur Sinko (email: Arthur.Sinko@manchester.ac.uk) and uses two series X & Y to construct the MIDAS regressions. It can simultaneously:

- compute weights of restricted/unrestricted "standard" Beta polynomial

- compute weights of restricted/unrestricted Beta polynomial with non-zero last lag (Warning: This specification has an identification problem for the equally-weighted/close to the equally weighted schemes)

- compute weights of restricted/unrestricted Exp polynomial

- compute weights of MIDAS with step functions (nonnegative and general)

- compute weights of Almon lag polynomial.

- plot all of the above.

All suggestions/bugs/cases of strange behavior are very welcome to report to Arthur Sinko. The main program file is: midas_example.m

The code can be downloaded at:  http://www.unc.edu/~sinko/MATLAB.html