Can target variable be high-frequency?

mpiktas / midasr

R package for mixed frequency time series data analysis.

http://mpiktas.github.io/midasr/

Other

73 stars 34 forks source link

Can target variable be high-frequency? #39

Closed aldanor closed 10 years ago

aldanor commented 10 years ago

Hi, I was wondering if it was possible (maybe via some workaround) to use a target variable that would be of higher frequency than one of the explanatory variables. An example:

y.monthly ~ x1.quarterly + x2.monthly

Maybe I'm missing something and this can already be done -- please let me know if so!

Thanks.

vzemlys commented 10 years ago

No, currently this is not supported. MIDAS regression model assumes that the response variable is the lowest frequency variable. I suggest either aggregating the high frequency variables, or disaggregating the low frequency variable. There is a nice R package tempdisagg which deals with disaggregation.

aldanor commented 10 years ago

Thanks @vzemlys, nice reference too!