"MIDAS Analytic'' extension to the MIDAS MATLAB Toolbox

Version 0.1.0 (531 ko) par Alexander Kostrov
"MIDAS Analytic'' extension supports estimating MIDAS regressions via MIDAS-NLS with revised optimization.
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Mise à jour 16 oct. 2020

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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.

Citation pour cette source

A. Kostrov (2020) Estimating MIDAS regressions via MIDAS-NLS with revised optimization. Working paper. https://www.researchgate.net/publication/342364491

Compatibilité avec les versions de MATLAB
Créé avec R2016b
Compatible avec toutes les versions
Plateformes compatibles
Windows macOS Linux
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Inspiré par : 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 Publié le Notes de version
0.1.0