Octave-friendly version of MIDAS Matlab Toolbox

[Allin Cottrell]

I'm not a regular user of Octave, but I find it very useful when I 
have need to run Matlab code on Linux, so thank you!

I recently got interested in Eric Ghysels' MIDAS Toolbox for Matlab. 
This is the benchmark implementation of MIDAS (= Mixed Data 
Sampling, an econometric technique for using high-frequency 
explanatory variables to help predict a lower-frequency variable of 
interest). This Toolbox doesn't work "out of the box" on Octave 
(but, as I found from trying the free trial version of Matlab, it 
also doesn't work out of the box on the Linux version of Matlab).

Anyway, after some trial and error I figured out a patch for the 
Toolbox which lets it run on Octave (tested on 4.0.1 and 4.0.2), and 
have written up some documentation for this. The relevant files are 
at

http://users.wfu.edu/cottrell/midas/midas_octave.pdf
http://users.wfu.edu/cottrell/midas/MIDASv2.0_octave.zip

I could host this material myself, but it seems to me that if anyone 
more connected to the Octave community is interested in taking it 
over, that might be better. Just let me know and I'll be happy to 
hand over the keys!

--
Allin Cottrell
Department of Economics
Wake Forest University