Comments (6)
SAMFVH
commented on June 15, 2024
Also very interested in this! Trying to model monthly dependent variables with quarterly explanatory variables. Multiple papers talk about a Reversed Midas model?
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sk-dataocean-online
commented on June 15, 2024
Are there any intentions to implement reverse MIDAS? I am very interested in it.
Papers: https://doi.org/10.1016/j.ijforecast.2018.06.004 , https://doi.org/10.1080/03610918.2018.1563148 ,
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vzemlys
commented on June 15, 2024
There are no plans. If you send me the pdf articles (I do not have access) I might look into.
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sk-dataocean-online
commented on June 15, 2024
Could you please send me an empty message to sk(at)dataocean.online? I will reply with those pdfs. You know, it's ok to share articles privately, but it's forbidden to upload article pdf files to some public resource.
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vzemlys
commented on June 15, 2024
Here is the example of how to implement reverse midas using midasr: https://mpiktas.github.io/reverse-midas/reverse_midasr_example.html
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sk-dataocean-online
commented on June 15, 2024
Awesome work! Thanks!
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Related Issues (20)
- Covariance estimation with time-series of mixed frequencies HOT 1
- midasR does not update forecast
- Not possible to estimate MIDAS model, more parameters than observations // midasr package HOT 4
- two step ahead forecast HOT 1
- Question of MIDAS with panel data HOT 1
- Error in hAh_test() HOT 4
- Contribution variables
- fitted value of in-sample based on average_forecast()
- Issue with average_forecast HOT 1
- Variable lengths differ (trend) HOT 1
- Stationarity - Transformations for Mixed Frequency Data HOT 1
- markov-switching midas models HOT 3
- error when use select_and_forecast HOT 1
- Impove mlsd to work correctly with dates
- Add forecasting to midas_sp, midas_nlpr, midas_mmm and midas_lstr
- Write proper documentation for non-parametric models
- Lint the package
- Regarding k in the mls() HOT 1
- Average Forecast Combination Weight Assignment HOT 2
- how to use polystep in a midas_r formula? HOT 3
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