Python version of Mixed Data Sampling (MIDAS) regression
This is a work-in-progress. If you have cases that I can test, feel free to add an issue or a PR
Python version of Mixed Data Sampling (MIDAS) regression
License: MIT License
The case with xlag=0 should give results of a regular AR model
Hi..As in the paper,could you show how to obtain the intra-period forecasts (nowcasts) for the
gdp-payroll example.
I want to forecast a monthly series using a weekly series. Monthly series is available till July 2017 and weekly series till Aug 2017. I would like to obtain the forecasts for each week data in August 2017 for the monthly series.
Thanks
Hello,
Very good package. Thank you for sharing it. May I please ask if you have any plans to handle lags of level 2 or more in the adl/forecast function? When one selects ylag=2, then the result of estimate contains one more parameter estimate, which is not handled by the forecast function.
I am happy to contribute to that development.
Cyrille
Currently relying on results from scipy leastsqares optimizer. Need better output that has specific parameter names, errors, etc.
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