"MIDAS Analytic'' extension to the MIDAS MATLAB Toolbox

Versión 0.1.0 (531 KB) por Alexander Kostrov
"MIDAS Analytic'' extension supports estimating MIDAS regressions via MIDAS-NLS with revised optimization.
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Actualizado 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.

Citar como

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

Compatibilidad con la versión de MATLAB
Se creó con R2016b
Compatible con cualquier versión
Compatibilidad con las plataformas
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Inspirado por: 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

Versión Publicado Notas de la versión
0.1.0