View source: R/date.functions.R
mixed_freq_data_single | R Documentation |
Creates a MIDAS data structure for a single high-frequency covariate based on low-frequency reference date.
mixed_freq_data_single(data.refdate, data.x, data.xdate, x.lag, horizon, est.start, est.end, disp.flag = TRUE)
data.refdate |
n by 1 date vector. |
data.x |
m by 1 high-frequency time series data vector. |
data.xdate |
m by 1 high-frequency time series date vector. |
x.lag |
number of high-frequency lags to construct in high-frequency time units. |
horizon |
forecast horizon relative to |
est.start |
estimation start date, taken as the first ... . |
est.end |
estimation end date, taken as the last ... . Remaining data after this date is dropped to out-of-sample evaluation data. |
disp.flag |
display flag to indicate whether or not to display obtained MIDAS data strcuture in console. |
a list of midas data structure.
Jonas Striaukas
data(us_rgdp) rgdp <- us_rgdp$rgdp cfnai <- us_rgdp$cfnai data.refdate <- rgdp$date data.x <- cfnai$cfnai data.xdate <- cfnai$date est.start <- as.Date("1990-01-01") est.end <- as.Date("2002-03-01") mixed_freq_data_single(data.refdate, data.x, data.xdate, x.lag = 12, horizon = 1, est.start, est.end, disp.flag = FALSE)
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