Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Eric Ghysels, Virmantas Kvedaras, Vaidotas Zemlys
Title: Mixed Frequency Data Sampling Regression Models: The R Package midasr
Abstract: When modeling economic relationships it is increasingly common to encounter data sampled at different frequencies. We introduce the R package midasr which enables estimating regression models with variables sampled at different frequencies within a MIDAS regression framework put forward in work by Ghysels, Santa-Clara, and Valkanov (2002). In this article we define a general autoregressive MIDAS regression model with multiple variables of different frequencies and show how it can be specified using the familiar R formula interface and estimated using various optimization methods chosen by the researcher. We discuss how to check the validity of the estimated model both in terms of numerical convergence and statistical adequacy of a chosen regression specification, how to perform model selection based on a information criterion, how to assess forecasting accuracy of the MIDAS regression model and how to obtain a forecast aggregation of different MIDAS regression models. We illustrate the capabilities of the package with a simulated MIDAS regression model and give two empirical examples of application of MIDAS regression.

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Paper: Mixed Frequency Data Sampling Regression Models: The R Package midasr     Download PDF (Downloads: 8639)
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DOI: 10.18637/jss.v072.i04

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.