The MIDAS Touch: Mixed Data Sampling Regression Models

We introduce Mixed Data Sampling (henceforth MIDAS) regression models. The regressions involve time series data sampled at dieren t frequencies. Technically speaking MIDAS models specify conditional expectations as a distributed lag of regressors recorded at some higher sampling frequencies. We examine the asymptotic properties of MIDAS regression estimation and compare it with traditional distributed lag models. MIDAS regressions have wide applicability in macroeconomics and nance.