Regression modelForecasting
MIDAS回归：跨混合数据频率的预测
MIDAS（混合数据采样）回归是一种计量经济学框架，可以直接将高频预测变量纳入低频结果变量的模型中，而无需对回归变量进行时间聚合。MIDAS由Eric Ghysels、Arthur Sinko和Rossen Valkanov于2007年提出，它使用简洁参数化的滞后多项式——例如Beta或指数Almon加权方案——来总结大量高频滞后的信息含量，同时避免参数的过度增长。
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来源
- Ghysels, E., Sinko, A., & Valkanov, R. (2007). MIDAS regressions: Further results and new directions. Econometric Reviews, 26(1), 53–90. DOI: 10.1080/07474930600972467 ↗
如何引用本页
ScholarGate. (2026, June 2). Mixed Data Sampling (MIDAS) Regression. ScholarGate. https://scholargate.app/zh/econometrics/midas-regression
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