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 : , where y is the regressand, x is the regressor, m denotes the frequency - for instance if y is yearly is quarterly - ε is the disturbance and B(L^{1 / m};θ) is a lag distribution, for instance the Beta function or the Almon Lag.

External Link

• Eric Ghysels