midasr: Mixed Data Sampling Regression
Version 0.6

Methods and tools for mixed frequency time series data analysis. Allows estimation, model selection and forecasting for MIDAS regressions.

Browse man pages Browse package API and functions Browse package files

AuthorVirmantas Kvedaras <virmantas.kvedaras@mif.vu.lt>, Vaidotas Zemlys <vaidotas.zemlys@mif.vu.lt>
Date of publication2016-08-08 16:52:48
MaintainerVaidotas Zemlys <zemlys@gmail.com>
LicenseGPL-2 | MIT + file LICENCE
Version0.6
URL http://mpiktas.github.io/midasr/
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("midasr")

Man pages

agk.test: Andreou, Ghysels, Kourtellos LM test
almonp: Almon polynomial MIDAS weights specification
almonp_gradient: Gradient function for Almon polynomial MIDAS weights
amidas_table: Weight and lag selection table for aggregates based MIDAS...
amweights: Weights for aggregates based MIDAS regressions
average_forecast: Average forecasts of MIDAS models
check_mixfreq: Check data for MIDAS regression
coef.midas_r: Extract coefficients of MIDAS regression
deriv_tests: Check whether non-linear least squares restricted MIDAS...
deviance.midas_r: MIDAS regression model deviance
dmls: MIDAS lag structure for unit root processes
expand_amidas: Create table of weights, lags and starting values for Ghysels...
expand_weights_lags: Create table of weights, lags and starting values
fmls: Full MIDAS lag structure
forecast.midas_r: Forecast MIDAS regression
genexp: Generalized exponential MIDAS coefficients
genexp_gradient: Gradient of feneralized exponential MIDAS coefficient...
get_estimation_sample: Get the data which was used to etimate MIDAS regression
gompertzp: Normalized Gompertz probability density function MIDAS...
gompertzp_gradient: Gradient function for normalized Gompertz probability density...
hAhr_test: Test restrictions on coefficients of MIDAS regression using...
hAh_test: Test restrictions on coefficients of MIDAS regression
harstep: HAR(3)-RV model MIDAS weights specification
harstep_gradient: Gradient function for HAR(3)-RV model MIDAS weights...
hf_lags_table: Create a high frequency lag selection table for MIDAS...
imidas_r: Restricted MIDAS regression with I(1) regressors
lcauchyp: Normalized log-Cauchy probability density function MIDAS...
lcauchyp_gradient: Gradient function for normalized log-Cauchy probability...
lf_lags_table: Create a low frequency lag selection table for MIDAS...
lws_table-add: Combine 'lws_table' objects
midas_auto_sim: Simulate simple autoregressive MIDAS model
midas_r: Restricted MIDAS regression
midas_r.fit: Fit restricted MIDAS regression
midas_r_ic_table: Create a weight and lag selection table for MIDAS regression...
midas_r_np: Estimate non-parametric MIDAS regression
midasr-package: Mixed Data Sampling Regression
midas_r_simple: Restricted MIDAS regression
midas_sim: Simulate simple MIDAS regression response variable
midas_u: Estimate unrestricted MIDAS regression
mls: MIDAS lag structure
modsel: Select the model based on given information criteria
nakagamip: Normalized Nakagami probability density function MIDAS...
nakagamip_gradient: Gradient function for normalized Nakagami probability density...
nbeta: Normalized beta probability density function MIDAS weights...
nbeta_gradient: Gradient function for normalized beta probability density...
nbetaMT: Normalized beta probability density function MIDAS weights...
nbetaMT_gradient: Gradient function for normalized beta probability density...
nealmon: Normalized Exponential Almon lag MIDAS coefficients
nealmon_gradient: Gradient function for normalized exponential Almon lag...
oos_prec: Out-of-sample prediction precision data on simulation example
plot_midas_coef: Plot MIDAS coefficients
polystep: Step function specification for MIDAS weights
polystep_gradient: Gradient of step function specification for MIDAS weights
predict.midas_r: Predict method for MIDAS regression fit
prep_hAh: Calculate data for hAh_test and hAhr_test
rvsp500: Realized volatility of S&P500 index
select_and_forecast: Create table for different forecast horizons
simulate.midas_r: Simulate MIDAS regression response
split_data: Split mixed frequency data into in-sample and out-of-sample
update_weights: Updates weights in MIDAS regression formula
USpayems: United States total employment non-farms payroll, monthly,...
USqgdp: United States gross domestic product, quarterly, seasonaly...
USrealgdp: US annual gross domestic product in billions of chained 2005...
USunempr: US monthly unemployment rate
weights_table: Create a weight function selection table for MIDAS regression...

Functions

+.lws_table Man page
AIC.midas_r_np Source code
BIC.midas_r_np Source code
MAPE Source code
MASE Source code
MSE Source code
USpayems Man page
USqgdp Man page
USrealgdp Man page
USunempr Man page
add_expressions Source code
agk.test Man page Source code
almonp Man page Source code
almonp_gradient Man page Source code
amidas_table Man page Source code
amweights Man page Source code
average_forecast Man page Source code
bread.midas_r Source code
checkARstar Source code
check_mixfreq Man page Source code
coef.midas_r Man page Source code
data_to_env Source code
data_to_list Source code
deriv_tests Man page Source code
deriv_tests.midas_r Man page Source code
deviance.midas_r Man page Source code
dmls Man page Source code
dynamic_forecast Source code
estfun.midas_r Source code
expand_amidas Man page Source code
expand_weights_lags Man page Source code
expandfmls Source code
find_mls_terms Source code
fmls Man page Source code
forecast Man page
forecast.midas_r Man page Source code
formula_table Source code
genexp Man page Source code
genexp_gradient Man page Source code
get_estimation_sample Man page Source code
get_frequency_info Source code
get_frequency_info.default Source code
get_frequency_info.midas_r Source code
gompertzp Man page Source code
gompertzp_gradient Man page Source code
hAh_test Man page Source code
hAhr_test Man page Source code
harstep Man page Source code
harstep_gradient Man page Source code
hf_lags_table Man page Source code
imidas_r Man page Source code
last_term_info Source code
lcauchyp Man page Source code
lcauchyp_gradient Man page Source code
lf_lags_table Man page Source code
lf_range_to_hf Source code
logLik.midas_r Source code
make_ic_table Source code
midas_auto_sim Man page Source code
midas_r Man page Source code
midas_r.fit Man page Source code
midas_r_ic_table Man page Source code
midas_r_np Man page Source code
midas_r_simple Man page Source code
midas_sim Man page Source code
midas_u Man page Source code
midasr Man page
midasr-package Man page
mls Man page Source code
modifyfmls Source code
modsel Man page Source code
nakagamip Man page Source code
nakagamip_gradient Man page Source code
nbeta Man page Source code
nbetaMT Man page Source code
nbetaMT_gradient Man page Source code
nbeta_gradient Man page Source code
nealmon Man page Source code
nealmon_gradient Man page Source code
oos_prec Man page
opt_lambda Source code
plot_midas_coef Man page Source code
point_forecast.midas_r Source code
polystep Man page Source code
polystep_gradient Man page Source code
predict.midas_r Man page Source code
prep_hAh Man page Source code
prepare_model_frame Source code
prepmidas_r Source code
print.lws_table Source code
print.midas_r Source code
print.midas_r_ic_table Source code
print.midas_r_np Source code
print.summary.midas_r Source code
rbind_list Source code
rvsp500 Man page
select_and_forecast Man page Source code
simulate Man page
simulate.midas_r Man page Source code
split_data Man page Source code
static_forecast Source code
summary.midas_r Source code
summary.midas_r_np Source code
term_info Source code
update.midas_r Source code
update.midas_r_ic_table Source code
update_weights Man page Source code
variables_to_formula Source code
vcov.midas_r Source code
weights_table Man page Source code

Files

inst
inst/CITATION
tests
tests/testthat.R
tests/testthat
tests/testthat/test_midaslag.R
tests/testthat/test_methods.R
tests/testthat/test_midasr.R
NAMESPACE
demo
demo/logRV.R
demo/autoreg.R
demo/okun.R
demo/RV.R
demo/imidasr.R
demo/00Index
NEWS
data
data/rvsp500.RData
data/USunempr.RData
data/oos_prec.RData
data/USqgdp.RData
data/USpayems.RData
data/USrealgdp.RData
R
R/nonparametric.R
R/midasr-package.R
R/midasreg.R
R/midaslag.R
R/lagspec.R
R/midas_r_methods.R
R/simulate.R
R/deriv.R
R/imidasreg.R
R/modsel.R
R/tests.R
README.md
MD5
DESCRIPTION
LICENCE
man
man/deriv_tests.Rd
man/midas_auto_sim.Rd
man/USqgdp.Rd
man/prep_hAh.Rd
man/hAh_test.Rd
man/coef.midas_r.Rd
man/nbetaMT_gradient.Rd
man/USpayems.Rd
man/mls.Rd
man/midas_r_simple.Rd
man/amidas_table.Rd
man/expand_amidas.Rd
man/simulate.midas_r.Rd
man/fmls.Rd
man/midas_u.Rd
man/oos_prec.Rd
man/rvsp500.Rd
man/plot_midas_coef.Rd
man/lws_table-add.Rd
man/midas_r_ic_table.Rd
man/genexp.Rd
man/modsel.Rd
man/polystep.Rd
man/USunempr.Rd
man/forecast.midas_r.Rd
man/select_and_forecast.Rd
man/midas_r_np.Rd
man/almonp_gradient.Rd
man/amweights.Rd
man/almonp.Rd
man/midas_r.fit.Rd
man/nakagamip.Rd
man/nbeta_gradient.Rd
man/nealmon.Rd
man/polystep_gradient.Rd
man/harstep.Rd
man/gompertzp_gradient.Rd
man/USrealgdp.Rd
man/nakagamip_gradient.Rd
man/dmls.Rd
man/check_mixfreq.Rd
man/gompertzp.Rd
man/update_weights.Rd
man/hAhr_test.Rd
man/imidas_r.Rd
man/average_forecast.Rd
man/agk.test.Rd
man/lcauchyp_gradient.Rd
man/lcauchyp.Rd
man/midasr-package.Rd
man/nealmon_gradient.Rd
man/midas_sim.Rd
man/lf_lags_table.Rd
man/midas_r.Rd
man/harstep_gradient.Rd
man/deviance.midas_r.Rd
man/hf_lags_table.Rd
man/split_data.Rd
man/get_estimation_sample.Rd
man/genexp_gradient.Rd
man/expand_weights_lags.Rd
man/predict.midas_r.Rd
man/nbeta.Rd
man/nbetaMT.Rd
man/weights_table.Rd
midasr documentation built on May 19, 2017, 1:55 p.m.