WORKING PAPERS

Please visit my SSRN page for a list and links to my recent working papers.


Click here for links to SSRN downloadable papers.

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 links below we describe Matlab and R codes 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.


 

User's Guide Matlab Toolbox for Mixed Sampling Frequency Data Analysis using MIDAS Regression Models\    

Matlab Toolbox link Matlab Central       


User's Guide R Toolbox (Midasr) for Mixed Sampling Frequency Data Analysis using MIDAS\ Regression Models   

R Toolbox (Midasr) for Mixed Sampling Frequency Data Analysis using MIDAS Regression Models   


 
 










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