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dbr:Midas_(disambiguation)
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dbr:Mixed-data_sampling
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Mixed-data sampling 混合数据抽样
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混合數據抽樣（Mixed-data sampling, MIDAS）是由 Ghysels 等人所發展的一種計量經濟迴歸或篩選法。簡單迴歸的迴歸變數（regressors）出現頻率高於迴歸值（regressand）： 其中y是迴歸值，x是迴歸變數，m表示頻率。舉例來說，如果y是年度，就是季，是誤差項（disturbance）而是落後分配(lag distribution)，如B函數或Almon Lag。 這個迴歸模型應用在混合頻率數據上有時可以代替卡爾曼濾波。Bai, Ghysels and Wright（2010）探討MIDAS迴歸與卡爾曼濾波狀態空間模型應用於混合頻率數據的關係。一般來說，後者是方程組，而MIDAS迴歸只有一條方程式。因此，MIDAS迴歸或許效率較差，但比較不容易出錯。以MIDAS迴歸作為近似值的誤差不大。 Econometric models involving data sampled at different frequencies are of general interest. Mixed-data sampling (MIDAS) is an econometric regression developed by Eric Ghysels with several co-authors. There is now a substantial literature on MIDAS regressions and their applications, including Ghysels, Santa-Clara and Valkanov (2006), Ghysels, Sinko and Valkanov, Andreou, Ghysels and Kourtellos (2010) and Andreou, Ghysels and Kourtellos (2013).
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Econometric models involving data sampled at different frequencies are of general interest. Mixed-data sampling (MIDAS) is an econometric regression developed by Eric Ghysels with several co-authors. There is now a substantial literature on MIDAS regressions and their applications, including Ghysels, Santa-Clara and Valkanov (2006), Ghysels, Sinko and Valkanov, Andreou, Ghysels and Kourtellos (2010) and Andreou, Ghysels and Kourtellos (2013). 混合數據抽樣（Mixed-data sampling, MIDAS）是由 Ghysels 等人所發展的一種計量經濟迴歸或篩選法。簡單迴歸的迴歸變數（regressors）出現頻率高於迴歸值（regressand）： 其中y是迴歸值，x是迴歸變數，m表示頻率。舉例來說，如果y是年度，就是季，是誤差項（disturbance）而是落後分配(lag distribution)，如B函數或Almon Lag。 這個迴歸模型應用在混合頻率數據上有時可以代替卡爾曼濾波。Bai, Ghysels and Wright（2010）探討MIDAS迴歸與卡爾曼濾波狀態空間模型應用於混合頻率數據的關係。一般來說，後者是方程組，而MIDAS迴歸只有一條方程式。因此，MIDAS迴歸或許效率較差，但比較不容易出錯。以MIDAS迴歸作為近似值的誤差不大。
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