Mixed-data sampling (MIDAS) regressions allow to estimate dynamic equations that explain a low-frequency variable by high-frequency variables and their lags. When the difference in sampling frequencies between the regressand and the regressors is large, distributed lag functions are typically...

In this paper, we propose a modification of the three-pass regression filter (3PRF) to make it applicable to large mixed frequency datasets with ragged edges in a forecasting context. The resulting method, labeled MF-3PRF, is very simple but compares well to alternative mixed frequency factor...