midasr: Mixed Data Sampling Regression

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

Author
Virmantas Kvedaras <virmantas.kvedaras@mif.vu.lt>, Vaidotas Zemlys <vaidotas.zemlys@mif.vu.lt>
Date of publication
2016-08-08 16:52:48
Maintainer
Vaidotas Zemlys <zemlys@gmail.com>
License
GPL-2 | MIT + file LICENCE
Version
0.6
URLs

View on CRAN

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...

Files in this package

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