MIDAS regressions

[mccrackenm]

I am hoping to try determine whether MIDAS regressions can be handled in RATS. The low frequency y (GDP growth) data is quarterly while the high frequency x data (returns) is daily. It's not clear to me that the calendar function can handle this. If it worked I think I could set up the nlsystem and the necessary Almon or Beta function lags that Ghysels, Santa-Clara and Valkonov use.

Any suggestions or sample code would be very helpful. Thanks.

[tclark]

It's been a long time since this question was posed.... Does anyone have RATS code for a MIDAS application? Any help would be much appreciated.