Bai, Jennie; Ghysels, Eric; Wright, Jonathan H. - In: Econometric Reviews 32 (2013) 7, pp. 779-813
We examine the relationship between Mi(xed) Da(ta) S(ampling) (MIDAS) regressions and the Kalman filter when forecasting with mixed frequency data. In general, state space models involve a system of equations, whereas MIDAS regressions involve a single equation. As a consequence, MIDAS...