Matlab Code

The Matlab code 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:  www.unc.edu/~sinko/midas.zip