Mixed data sampling

Mixed-data sampling (MIDAS) is an econometric regression or filtering method developed by Ghysels et al. There is now a substantial literature on MIDAS regressions and their applications, including Andreou et al. (2010), and especially Andreou et al. (2013).

A simple regression example has the independent variable appearing at a higher frequency than the dependent variable:

where y is the dependent variable, x is the regressor, m denotes the frequency – for instance if y is yearly ${\displaystyle x_{t}^{(4)}}$ is quarterly – ${\displaystyle \varepsilon }$ is the disturbance and ${\displaystyle B(L^{1/m};\theta )}$ is a lag distribution, for instance the Beta function or the Almon Lag.

...
Wikipedia