Before revision: This paper proposes a new nonparametric mixed data sampling (MIDAS) model and develops a framework to infer clusters in a panel dataset of mixed sampling frequencies. The nonparametric MIDAS estimation method is more flexible but substantially less costly to estimate than existing approaches.
After revision: This paper proposes a new nonparametric mixed data sampling (MIDAS) model and develops a framework to infer clusters in a panel regression with mixed frequency data. The linearized MIDAS estimation method is more flexible but substantially less costly to estimate than existing approaches.