matlab code
所属分类：其他
开发工具：matlab
文件大小：295KB
下载次数：11
上传日期：2020-06-18 15:06:17
上 传 者：
哈利清欢
说明： MIDAS实现（混频数据模型），例如用日度数据预测月度数据
(Midas implementation (mixing data model), such as forecasting monthly data with daily data)
文件列表:
MIDASv1.1\appADLMIDAS1.m (3445, 2014-04-09)
MIDASv1.1\appADLMIDAS2.m (3376, 2014-04-09)
MIDASv1.1\appADLMIDAS3.m (2681, 2014-01-20)
MIDASv1.1\ForecastCombine.m (2990, 2014-01-11)
MIDASv1.1\mfrvobj_adl.m (595, 2010-07-15)
MIDASv1.1\MIDAS_ADL.m (26618, 2014-04-09)
MIDASv1.1\MIDAS_Usersguide_V1.0.pdf (258340, 2014-01-21)
MIDASv1.1\MixFreqData.m (14958, 2014-04-09)
MIDASv1.1\mydata.xlsx (49384, 2014-01-10)
MIDASv1.1\private\aicbic.m (232, 2009-12-21)
MIDASv1.1\private\almon_adl_new.m (2080, 2012-11-11)
MIDASv1.1\private\almon_weights.m (177, 2011-10-18)
MIDASv1.1\private\bnlsNN_adl_new.m (4199, 2012-11-11)
MIDASv1.1\private\bnls_adl_new.m (4130, 2012-11-11)
MIDASv1.1\private\enls1_adl_new.m (3734, 2012-11-14)
MIDASv1.1\private\HAC_kernel.m (501, 2009-12-08)
MIDASv1.1\private\hessian.m (4075, 2013-11-20)
MIDASv1.1\private\jacob.m (485, 2010-07-15)
MIDASv1.1\private\midas_sf_adl_new.m (1938, 2012-11-11)
MIDASv1.1\private\midas_X.m (4324, 2013-03-12)
MIDASv1.1\private\ols.m (1806, 2012-11-11)
MIDASv1.1\private\ssr_mfrvobj_adl.m (173, 2010-07-13)
MIDASv1.1\private\var2struct.m (235, 2009-12-21)
MIDASv1.1\ssr_r25_adl_new.m (928, 2010-08-04)
MIDASv1.1\ssr_r25_NN_adl_new.m (1381, 2011-10-20)
license.txt (1502, 2014-04-08)
The mixed frequency regression studies the explanatory power of high frequency variables on the low frequency outcome. The weights associated with high frequency regressors are usually assumed some functional form. This toolbox is a repack of the Mi(xed) Da(ta) S(ampling) regressions (MIDAS) programs written by Eric Ghysels. It supports ADL-MIDAS type regressions.
Syntax:
[...] = MIDAS_ADL(DataY,DataYdate,DataX,DataXdate)
[...] = MIDAS_ADL(DataY,DataYdate,DataX,DataXdate,name,value,...)
Version History
v1.1 Allow MIDAS leads and lags specification 'horizon' be negative.
Add true out-of-sample forecast; results are restored in the last output argument 'Extended Forecast' struct.
Report the approximated dates associated with the forecasted values in the output struct, in character instead of serial dates.
v1.0 First release of the repacked MIDAS regression
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