BookmarkSubscribeRSS Feed
James071375
Fluorite | Level 6

Dear all, 

 

I need to conduct regressions with high frequency data as dependent variable and low frequency data as independent and control variables. The literature states that MIDAS (mixed data sampling) regression models can help to deal with the problem. Does SAS provide such procedure or program to complete the requirement? After implementing preliminary Google search, I couldn't find any useful information. If you have any idea, please let me know. Thank you for your advice in advance. 

2 REPLIES 2
James071375
Fluorite | Level 6

Thank you for your recommendation. 

Differing from the paper, my dependent variable has higher frequency (i.e., monthly data) and the main independent variable is monthly as well. However, control variables have lower frequency (i.e., quarterly or yearly data). In other words, it's a reverse MIDAS model. Does SAS offer any procedure or program to deal with the situation? Thanks. Look forward to hearing you.  

sas-innovate-2024.png

Available on demand!

Missed SAS Innovate Las Vegas? Watch all the action for free! View the keynotes, general sessions and 22 breakouts on demand.

 

Register now!

What is ANOVA?

ANOVA, or Analysis Of Variance, is used to compare the averages or means of two or more populations to better understand how they differ. Watch this tutorial for more.

Find more tutorials on the SAS Users YouTube channel.

Discussion stats
  • 2 replies
  • 500 views
  • 2 likes
  • 2 in conversation