midasr: Mixed Data Sampling Regression

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

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
http://mpiktas.github.io/midasr/

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...

Functions

agk.test Man page
almonp Man page
almonp_gradient Man page
amidas_table Man page
amweights Man page
average_forecast Man page
check_mixfreq Man page
coef.midas_r Man page
deriv_tests Man page
deriv_tests.midas_r Man page
deviance.midas_r Man page
dmls Man page
expand_amidas Man page
expand_weights_lags Man page
fmls Man page
forecast Man page
forecast.midas_r Man page
genexp Man page
genexp_gradient Man page
get_estimation_sample Man page
gompertzp Man page
gompertzp_gradient Man page
hAhr_test Man page
hAh_test Man page
harstep Man page
harstep_gradient Man page
hf_lags_table Man page
imidas_r Man page
lcauchyp Man page
lcauchyp_gradient Man page
lf_lags_table Man page
+.lws_table Man page
midas_auto_sim Man page
midasr Man page
midas_r Man page
midas_r.fit Man page
midas_r_ic_table Man page
midas_r_np Man page
midasr-package Man page
midas_r_simple Man page
midas_sim Man page
midas_u Man page
mls Man page
modsel Man page
nakagamip Man page
nakagamip_gradient Man page
nbeta Man page
nbeta_gradient Man page
nbetaMT Man page
nbetaMT_gradient Man page
nealmon Man page
nealmon_gradient Man page
oos_prec Man page
plot_midas_coef Man page
polystep Man page
polystep_gradient Man page
predict.midas_r Man page
prep_hAh Man page
rvsp500 Man page
select_and_forecast Man page
simulate Man page
simulate.midas_r Man page
split_data Man page
update_weights Man page
USpayems Man page
USqgdp Man page
USrealgdp Man page
USunempr Man page
weights_table Man page

Files

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

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