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Title: The MIDAS Touch: Mixed Data Sampling Regression Models
Authors: Ghysels, Eric
Santa-Clara, Pedro
Valkanov, Rossen
Issue Date: 2004-05
Publisher: Centre interuniversitaire de recherche en analyse des organisations (CIRANO)
Series/Report no.: Série scientifique (CIRANO);2004s-20
Scientific series (CIRANO);2004s-20
Abstract: Nous introduisons des modèles de régression MIDAS (Mixed Data Sampling). Ce sont des modèles de régression avec des séries temporelles échantillonées à différentes fréquences. Nous analysons les liens avec les modèles à retards échelonnés.

We introduce Mixed Data Sampling (henceforth MIDAS) regression models. The regressions involve time series data sampled at different frequencies. Technically speaking MIDAS models specify conditional expectations as a distributed lag of regressors recorded at some higher sampling frequencies. We examine the asymptotic properties of MIDAS regression estimation and compare it with traditional distributed lag models. MIDAS regressions have wide applicability in macroeconomics and finance.
URI: http://www.cirano.qc.ca/pdf/publication/2004s-20.pdf
https://depot.erudit.org/id/000875dd
ISSN: 1198-8177
Appears in Collections:Cahiers scientifiques

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