MIDAS Matlab Toolbox

Add Legendre polynomial specification in the MIDAS_ADL function. Legendre polynomials are mutually orthogonal and avoid multicollinearity, compared to the non-orthogonal Almon power polynomials.

Add a name-value pair 'DiscountIncrease' to MIDAS_ADL.

Fix a bug in DccMIDAS FMINSEARCH when MATLAB Optimization Toolbox is not available.

version2.1 Add MIDAS quantile regression

Package written by Eric Ghysels and collaborators

Support Ylag as a cell array such as Ylag = {3,6,9} for flexible low frequency lagged regressors
Support Xlag = 0, so that the high frequency regressors are suppressed. OLS results will be produced.
User guide is updated to the version July 16, 2015

Update the user guide (version Dec 21, 2014)

Allow leads and lags specification 'horizon' be negative.

Add true out-of-sample forecast; results are restored in the last output argument 'Extended Forecast' struct.