"MIDAS Analytic'' extension to the MIDAS MATLAB Toolbox

Versione 0.1.0 (531 KB) da Alexander Kostrov
"MIDAS Analytic'' extension supports estimating MIDAS regressions via MIDAS-NLS with revised optimization.
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Aggiornato 16 ott 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.

Cita come

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

Compatibilità della release di MATLAB
Creato con R2016b
Compatibile con qualsiasi release
Compatibilità della piattaforma
Windows macOS Linux
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Ispirato da: 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

Versione Pubblicato Note della release
0.1.0