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U-Midas: Midas Regressions with Unrestricted Lag Polynomials

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References

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2002A new coincident index of business cycles based on monthly and quarterly series631 cited
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2010Factor MIDAS for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP*298 cited
1999Some Consequences of Temporal Aggregation in Empirical Analysis271 cited
2009Forecasting US output growth using leading indicators: an appraisal using MIDAS models236 cited
2003The Use and Abuse of Real-Time Data in Economic Forecasting233 cited
2006Short-Term Forecasts of Euro Area Real GDP Growth: An Assessment of Real-Time Performance Based on Vintage Data145 cited
2006Dynamic Factor Analysis with Non-Linear Temporal Aggregation Constraints106 cited

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2018Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models116 cited
2014Variable Selection in Predictive MIDAS Models56 cited
2014Forecasting GDP growth using mixed-frequency models with switching regimes

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2016A mixed frequency approach to the forecasting of private consumption with ATM/POS data50 cited

2013Mixed-Frequency Vector Autoregressive Models48 cited

2021A comparison of monthly global indicators for forecasting growth48 cited

2016The estimation of continuous time models with mixed frequency data19 cited

2013Nowcasting causality in mixed frequency vector autoregressive models16 cited