Estimation and Prediction Methods for High-Dimensional Mixed Frequency Time Series Data

The 'midasml' estimation and prediction methods for high dimensional time series regression models under mixed data sampling data structures using structured-sparsity penalties and orthogonal polynomials. For more information on the 'midasml' approach see Babii, Ghysels, and Striaukas (2021, JBES forthcoming) . Functions that compute MIDAS data structures were inspired by MIDAS 'Matlab' toolbox (v2.3) written by Eric Ghysels.