Yet another look at MIDAS regression

Philip Hans Franses

No EI2016-32, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

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.

Keywords: high frequency; low frequency; MIDAS regression (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 19
Date: 2016-08-24
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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