Table 4.
Summary of selected studies of MIDAS regressions.
| Research object | Author (Year) | Dependent variable data frequency | Independent variable data frequency | Analysis methods |
|---|---|---|---|---|
| Gross domestic product | Pan, Wang, Wang, and Yang (2018) | Quarterly GDP | Monthly crude oil prices | TVP |
| Tourism demand | Bangwayo-Skeete and Skeete (2015) | Monthly tourist arrivals | Weekly Google search data | AR |
| Gunter, Önder, and Gindl (2018) | Monthly tourist arrivals | Daily LIKES and monthly Google trends data | ADL | |
| Hirashima, Jones, Bonham, and Fuleky (2017) | Quarterly tourist arrivals and quarterly labor income | Monthly tourist arrivals; monthly passenger counts; monthly airline passenger seats outlook; monthly consumer price index; monthly accommodation; food services jobs; and monthly tourist days | ADL | |
| Wen, Liu, Song and Liu (2021) | Monthly tourist arrivals | Daily Baidu search data | SARIMA | |
| Hu et al. (2022) | Monthly tourist arrivals | Weekly online review volume and average review rating | SARIMA | |
| Liu et al., 2021a, Liu et al., 2021b | Monthly visitor arrivals | Daily Baidu index, monthly visitor arrival data and macroeconomic variables | LASSO | |
| Wu, Hu and Chen (2022) | Monthly hotel occupancy rates | Daily visitor arrivals and search query data, monthly historical hotel occupancy rates | U-MIDAS, MIDAS-Almon | |
| Oil future volatility | Mei, Ma, Liao, and Wang (2020) | 5min oil futures price volatility | Daily geopolitical risk index | RV |
| Crude oil prices | Zhang and Wang (2019) | Monthly WTI and Brent crude oil spot prices | Daily stock market indices | ADL |
Notes: Realised volatility (RV); Generalised autoregressive conditional heteroscedastic (GARCH); Simple MIDAS models by using an unweighted polynomial function (U-MIDAS).