mixed data sampling

Mixed Data Sampling or short MIDAS, is an econometric model developed by Ghysels et al. in which the regressor appears at a higher frequency than the regressand:

y_{t}=\beta_{0}+\beta_{1}B(L^{1/m};\theta)x_{t}^{(m)}+\epsilon_{t}^{(m)}

, where y is the regressand, x is the regressor, m denotes the frequency - for instance if y is yearly

x_{t}^{(4)}

is quarterly -

\epsilon

is the disturbance and

B(L^{1/m};\theta)

is a lag distribution, for instance the Beta function or the Almon Lag.

External Link

Eric Ghysels

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