Question of MIDAS with panel data

mpiktas / midasr

R package for mixed frequency time series data analysis.

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

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Question of MIDAS with panel data #74

Closed April-sun closed 2 years ago

April-sun commented 4 years ago

Hello, I am trying to using the MIDAS model to analyze the panel data. But now I have some problems about it and I am wondering if you could give me some advice. Does your midasr package has a function for panel data?
If so, Can you share me some relevant codes or examples ？

Thank"s for your time!

vzemlys commented 2 years ago

Panel data is not supported. However you can do frequency alignment with help of function mls and then proceed to estimate the panel data model by hand.