Template-Type: ReDIF-Paper 1.0
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Title: Yet another look at MIDAS regression
Abstract: A MIDAS regression involves a dependent variable observed at a low frequency and independent variables observed at a higher frequency. This paper relates a true high frequency data generating process, where also the dependent variable is observed (hypothetically) at the high frequency, with a MIDAS regression. It is shown that a correctly specified MIDAS regression usually includes lagged dependent variables, a substantial number of explanatory variables (observable at the low frequency) and a moving average term. Next, the parameters of the explanatory variables unlikely obey certain convenient patterns, and hence imposing such restrictions in practice is not recommended.
Length: 19
Creation-Date: 2016-08-24
File-URL: https://repub.eur.nl/pub/93331/EI2016-32.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI2016-32
Classification-JEL: C32
Keywords: high frequency, low frequency, MIDAS regression
Handle: RePEc:ems:eureir:93331