Mixed-data sampling

Mixed Data Sampling or short MIDAS, is an econometric model developed by Ghysels et al. in which the regressor appears at a higher frequncy than the regressand: $y_{t}=\beta _{0}+\beta _{1}B(L^{1/m};\theta )x_{t}^{(m)}+\epsilon _{t}^{(m)}$, where y is the regressand, x is the regressor, m denotes the frequency - for instance if y is yearly $x_{t}^{(4)}$ is quarterly - $\epsilon$ is the disturbance and $B(L^{1/m};\theta )$ is a lag distribution, for instance the Beta function or the Almon Lag.

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Eric Ghysels