Mixed data sampling

Mixed data sampling (MIDAS) is an econometric regression or filtering method developed by Ghysels et al. A simple regression example has the regressor appearing at a higher frequency than the regressand:

$y_t = \beta_0 + \beta_1 B(L^{1/m};\theta)x_t^{(m)} + \varepsilon_t^{(m)},\,$

where y is the regressand, x is the regressor, m denotes the frequency – for instance if y is yearly $x_t^{(4)}$ is quarterly – ε is the disturbance and B(L^{1 / m};θ) is a lag distribution, for instance the Beta function or the Almon lag.

The regression models can be viewed in some cases as substitutes for the Kalman filter when applied in the context of mixed frequency data. Bai, Ghysels and Wright (2010) examine the relationship between MIDAS regressions and Kalman filter state space models applied to mixed frequency data. In general, the latter involve a system of equations, whereas in contrast MIDAS regressions involve a (reduced form) single equation. As a consequence, MIDAS regressions might be less efficient, but also less prone to specification errors. In cases where the MIDAS regression is only an approximation, the approximation errors tend to be small.

See also

• Distributed lag
• ARMAX

References

Andreou, E, Eric Ghysels and A. Kourtellos (2010) Should macroeconomic forecasters use daily financial data and how?, Discussion Paper UNC.

Andreou, E, Eric Ghysels and A. Kourtellos (2010) Forecasting with mixed-frequency data, Chapter prepared for Oxford Handbook on Economic Forecasting edited by Michael P. Clements and David F. Hendry

Chen, Xilong, Eric Ghysels and Fangfang Wang, (2010), The HYBRID GARCH Class of Models, Discussion Paper UNC.

Bai, J., Eric Ghysels and Jonathan Wright (2010), State Space Models and MIDAS Regressions, Discussion Paper UNC.

Eric Ghysels and J. Wright (2009), Forecasting Professional Forecasters, Journal of Business and Economic Statistics

Anderson, E., Eric Ghysels and J. Juergens (2009) The Impact of Risk and Uncertainty on Expected Returns, Journal of Financial Economics Eric Ghysels and B. Sohn (2009) Which Power Variation Predicts Volatility Well? Journal of Empirical Finance,

Andreou, E, Eric Ghysels and A. Kourtellos (2010) "Regression Models With Mixed Sampling Frequencies", Journal of Econometrics (Article in Press)

Eric Ghysels, Santa-Clara, P. and Valkanov, R. (2005), There is a Risk-return Trade-off After All, Journal of Financial Economics, 76, 509-548.

Eric Ghysels, Santa-Clara, P. and Valkanov, R. (2006) Predicting volatility: How to get most out of returns data sampled at different frequencies Journal of Econometrics 131, 59-95

Eric Ghysels, Sinko, A., Valkanov, R. (2007) MIDAS Regressions: Further Results and New Directions. Econometric Reviews, 26 (1), 53–90

Riccardo Colacito, Robert Engle and Eric Ghysels A Component Model of Dynamic Correlations , Journal of Econometrics (Article in Press)

External links

• Eric Ghysels

This Econometrics-related article is a stub. You can help Wikipedia by expanding it.v · Categories: Econometrics Econometric models Time series analysis Time series models Statistical forecasting Econometrics stubs Wikimedia Foundation. 2010. Игры ⚽ Нужен реферат? Kansei Engineering Xmouse Look at other dictionaries: Mixed — is the past tense of mix. It may also refer to: Mixed breed, an animal whose parents are from different breeds or species Mixed anomaly, in theoretical physics, an example of an anomaly Mixed data sampling, an econometric model developed by… …   Wikipedia Data collection — is a term used to describe a process of preparing and collecting data, for example, as part of a process improvement or similar project. The purpose of data collection is to obtain information to keep on record, to make decisions about important… …   Wikipedia Sampling (signal processing) — Signal sampling representation. The continuous signal is represented with a green color whereas the discrete samples are in blue. In signal processing, sampling is the reduction of a continuous signal to a discrete signal. A common example is the …   Wikipedia Data — For data in a computer science context, see Data (computing). For other senses of the word, see Data (disambiguation). See also datum, a disambiguation page. The term data refers to qualitative or quantitative attributes of a variable or set of… …   Wikipedia sampling — The policy of inferring the behavior of a whole batch by studying a fraction of it. [MF essample, fr. L. exemplum, taking out] biological s. denotes s. that can be taken without jeopardy to the whole organism ( e.g., for hematological or… …   Medical dictionary Latin hypercube sampling — (LHS) is a statistical method for generating a distribution of plausible collections of parameter values from a multidimensional distribution. The sampling method is often applied in uncertainty analysis. The technique was first described by… …   Wikipedia Gibbs sampling — In statistics and in statistical physics, Gibbs sampling or a Gibbs sampler is an algorithm to generate a sequence of samples from the joint probability distribution of two or more random variables. The purpose of such a sequence is to… …   Wikipedia Telecommunications data retention — In the field of telecommunications, data retention (or data preservation) generally refers to the storage of call detail records (CDRs) of telephony and internet traffic and transaction data (IPDRs) by governments and commercial organisations. In …   Wikipedia List of terms relating to algorithms and data structures — The [http://www.nist.gov/dads/ NIST Dictionary of Algorithms and Data Structures] is a reference work maintained by the U.S. National Institute of Standards and Technology. It defines a large number of terms relating to algorithms and data… …   Wikipedia MIDAS — Mixed Data Sampling (Computing » Software) *** Munich Image Data Analysis System (Computing » Software) ** Manchester Information Datasets And Associated Services (Business » Firms) * Man Machine Integration Design and Analysis System… …   Abbreviations dictionary 18+ © Academic, 2000-2024 Contact us: Technical Support, Advertising Dictionaries export, created on PHP, Joomla, Drupal, WordPress, MODx. Mark and share Search through all dictionaries Translate… Search Internet Share the article and excerpts Direct link … Do a right-click on the link above and select “Copy Link”