"MIDAS Analytic'' extension to the MIDAS MATLAB Toolbox
The "MIDAS Analytic'' extension contains functions to perform MIDAS regression analysis with Beta or Exponential Almon lags and to make predictions based on the estimated parameters.
The user manual attached explains how to handle the main functions for
- a classical MIDAS regression (incl. DL-MIDAS, ADL-MIDAS, and FADL-MIDAS): reg_midas_analytic,
- a multivariate MIDAS regression: reg_mvmidas_analytic,
- a MIDAS logit regression: logit_midas_analytic,
- a MIDAS VAR regression: var_midas_analytic.
This extension can be used autonomously or alongside the MIDAS MATLAB Toolbox which is available on the MATLAB Central File Exchange (No. 45150) webpage.
Cite As
A. Kostrov (2020) Estimating MIDAS regressions via MIDAS-NLS with revised optimization. Working paper. https://www.researchgate.net/publication/342364491
MATLAB Release Compatibility
Platform Compatibility
Windows macOS LinuxTags
Acknowledgements
Inspired by: MIDAS Matlab Toolbox
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MIDAS analytic0.1
MIDAS analytic0.1/Classical MIDAS
MIDAS analytic0.1/MIDAS Logit
MIDAS analytic0.1/MIDAS VAR
MIDAS analytic0.1/Multivariate MIDAS
Version | Published | Release Notes | |
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0.1.0 |