Feature request: MIDAS

[itamarcaspi]

Would it be possible to add mixed frequency forecasting methods to fable? I was thinking of something like an API to the midasr package. Thanks for your hard work!

[mitchelloharawild]

I can't see why this couldn't be added. It would be better suited as a fable extension package (like https://github.com/mitchelloharawild/fable.prophet/), rather than adding it directly to fable.

The input data for this model would probably need some thought, as the index for the response and regressors may be different.

[mitchelloharawild]

Closing as this model will not be added into fable, but can be made available via an extension package.
This tracker has been consolidated into #344