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R Tools for Reverse MIDAS Regression

Article Quant Q&A · Author: Elif Candan
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Summary

The document identifies the R package midasr as a tool for econometric work with mixed-frequency data and points to examples for reverse MIDAS regression. It names two approaches: reverse unrestricted MIDAS, associated with Xu and coauthors, and reverse restricted MIDAS, associated with Foroni and coauthors. The examples are presented as a starting point for fitting these models.

The response recommends checking whether the package meets the user’s needs and suggests asking an author familiar with the package for further help. It does not explain model specification, estimation choices, or how the restricted and unrestricted forms differ, and it supplies no comparative results. Its value is primarily as a pointer to software and example implementations rather than a tutorial on reverse MIDAS.

Key ideas

  • The R package midasr supports econometric methods for mixed-frequency data.
  • Examples are available for reverse unrestricted MIDAS and reverse restricted MIDAS regressions.
  • The named approaches are attributed to separate published methods.
  • The document points readers toward package examples but does not explain estimation details.

Tags

StatisticsMachine learning
Full text
# What program to use for reverse MIDAS?


# What program to use for reverse MIDAS?












I know EViews is used for mixed-data sampling (MIDAS). Can someone pls help me identify a program I can use for reverse MIDAS? Thank you.

## Answer by Pleb (score 2)

https://quant.stackexchange.com/a/72204

### Midasr in R:

`R` has a package called midasr that contains econometric methods for working with mixed-frequency data. One of the authors has another GitHub repository that provides examples on how to fit different reverse MIDAS regressions (see Reverse MIDAS repository with a corresponding example document), specifically, the reverse unrestricted MIDAS (RU-MIDAS) of Xu et al (2018) and the reverse restricted MIDAS (RR-MIDAS) of Foroni et al (2018). You can take a look at the package and see if it satisfies your needs.

Lastly, the same author frequents Cross Validated Stack Exchange under the account name mpiktas. For any inquiries about the package or your problem, it would be best to ask there.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.