"MIDAS Analytic'' extension to the MIDAS MATLAB Toolbox

版本 0.1.0 (531.3 KB) 作者: Alexander Kostrov
"MIDAS Analytic'' extension supports estimating MIDAS regressions via MIDAS-NLS with revised optimization.
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更新时间 2020/10/16

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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.

引用格式

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

MATLAB 版本兼容性
创建方式 R2016b
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参考作品: 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

版本 已发布 发行说明
0.1.0