Mixed data sampling

Mixed data sampling (MIDAS) is an econometric regression or filtering method developed by Ghysels et al. A simple regression example has the regressor appearing at a higher frequency than the regressand:


 * $$y_{t}=\beta_{0}+\beta_{1}B(L^{1/m};\theta)x_{t}^{(m)}+\epsilon_{t}^{(m)},\,$$

where y is the regressand, x is the regressor, m denotes the frequency - for instance if y is yearly $$x_{t}^{(4)}$$ is quarterly - $$\epsilon$$ is the disturbance and $$B(L^{1/m};\theta)$$ is a lag distribution, for instance the Beta function or the Almon lag.