Factor-Augmented Sparse MIDAS Regressions with an Application to Nowcasting
因子增强稀疏 MIDAS 回归及其即时预测应用
This article investigates factor-augmented sparse MIDAS (Mixed Data Sampling) regressions for high-dimensional time series data, which may be observed at different frequencies. Our novel approach integrates sparse and dense dimensionality reduction techniques. We derive the convergence rate of our estimator under misspecification due to the MIDAS approximation error, τ-mixing dependence, and polynomial tails. Our method’s finite sample performance is assessed via Monte Carlo…