Man pages for midasr
Mixed Data Sampling Regression

agk.testAndreou, Ghysels, Kourtellos LM test
almonpAlmon polynomial MIDAS weights specification
almonp_gradientGradient function for Almon polynomial MIDAS weights
amidas_tableWeight and lag selection table for aggregates based MIDAS...
amweightsWeights for aggregates based MIDAS regressions
average_forecastAverage forecasts of MIDAS models
check_mixfreqCheck data for MIDAS regression
coef.midas_nlprExtract coefficients of MIDAS regression
coef.midas_rExtract coefficients of MIDAS regression
coef.midas_spExtract coefficients of MIDAS regression
deriv_testsCheck whether non-linear least squares restricted MIDAS...
deviance.midas_nlprNon-linear parametric MIDAS regression model deviance
deviance.midas_rMIDAS regression model deviance
deviance.midas_spSemi-parametric MIDAS regression model deviance
dmlsMIDAS lag structure for unit root processes
expand_amidasCreate table of weights, lags and starting values for Ghysels...
expand_weights_lagsCreate table of weights, lags and starting values
extract.midas_rExtract coefficients and GOF measures from MIDAS regression...
fitted.midas_nlprFitted values for non-linear parametric MIDAS regression...
fitted.midas_spFitted values for semi-parametric MIDAS regression model
fmlsFull MIDAS lag structure
forecast.midas_rForecast MIDAS regression
genexpGeneralized exponential MIDAS coefficients
genexp_gradientGradient of generalized exponential MIDAS coefficient...
get_estimation_sampleGet the data which was used to etimate MIDAS regression
gompertzpNormalized Gompertz probability density function MIDAS...
gompertzp_gradientGradient function for normalized Gompertz probability density...
hAhr_testTest restrictions on coefficients of MIDAS regression using...
hAh_testTest restrictions on coefficients of MIDAS regression
harstepHAR(3)-RV model MIDAS weights specification
harstep_gradientGradient function for HAR(3)-RV model MIDAS weights...
hf_lags_tableCreate a high frequency lag selection table for MIDAS...
imidas_rRestricted MIDAS regression with I(1) regressors
lcauchypNormalized log-Cauchy probability density function MIDAS...
lcauchyp_gradientGradient function for normalized log-Cauchy probability...
lf_lags_tableCreate a low frequency lag selection table for MIDAS...
lstrCompute LSTR term for high frequency variable
lws_table-addCombine 'lws_table' objects
midas_auto_simSimulate simple autoregressive MIDAS model
midas_lstr_plainLSTR (Logistic Smooth TRansition) MIDAS regression
midas_lstr_simSimulate LSTR MIDAS regression model
midas_mmm_plainMMM (Mean-Min-Max) MIDAS regression
midas_mmm_simSimulate MMM MIDAS regression model
midas_nlprNon-linear parametric MIDAS regression
midas_nlpr.fitFit restricted MIDAS regression
midas_pl_plainMIDAS Partialy linear non-parametric regression
midas_pl_simSimulate PL MIDAS regression model
midas_qrRestricted MIDAS quantile regression
midas_rRestricted MIDAS regression
midas_r.fitFit restricted MIDAS regression
midas_r_ic_tableCreate a weight and lag selection table for MIDAS regression...
midas_r_npEstimate non-parametric MIDAS regression
midasr-packageMixed Data Sampling Regression
midas_r_plainRestricted MIDAS regression
midas_simSimulate simple MIDAS regression response variable
midas_si_plainMIDAS Single index regression
midas_si_simSimulate SI MIDAS regression model
midas_spSemi-parametric MIDAS regression
midas_uEstimate unrestricted MIDAS regression
mlsMIDAS lag structure
mlsdMIDAS lag structure with dates
mmmCompute MMM term for high frequency variable
modselSelect the model based on given information criteria
nakagamipNormalized Nakagami probability density function MIDAS...
nakagamip_gradientGradient function for normalized Nakagami probability density...
nbetaNormalized beta probability density function MIDAS weights...
nbeta_gradientGradient function for normalized beta probability density...
nbetaMTNormalized beta probability density function MIDAS weights...
nbetaMT_gradientGradient function for normalized beta probability density...
nealmonNormalized Exponential Almon lag MIDAS coefficients
nealmon_gradientGradient function for normalized exponential Almon lag...
oos_precOut-of-sample prediction precision data on simulation example
plot_lstrPlot MIDAS coefficients
plot_midas_coef.midas_nlprPlot MIDAS coefficients
plot_midas_coef.midas_rPlot MIDAS coefficients
plot_spPlot non-parametric part of the single index MIDAS regression
polystepStep function specification for MIDAS weights
polystep_gradientGradient of step function specification for MIDAS weights
predict.midas_nlprPredict method for non-linear parametric MIDAS regression fit
predict.midas_rPredict method for MIDAS regression fit
predict.midas_spPredict method for semi-parametric MIDAS regression fit
prep_hAhCalculate data for hAh_test and hAhr_test
rvsp500Realized volatility of S&P500 index
select_and_forecastCreate table for different forecast horizons
simulate.midas_rSimulate MIDAS regression response
split_dataSplit mixed frequency data into in-sample and out-of-sample
update_weightsUpdates weights in MIDAS regression formula
UScpiqsUS quartely seasonaly adjusted consumer price index
USeffrwUS weekly effective federal funds rate.
USpayemsUnited States total employment non-farms payroll, monthly,...
USqgdpUnited States gross domestic product, quarterly, seasonaly...
USrealgdpUS annual gross domestic product in billions of chained 2005...
USunemprUS monthly unemployment rate
weights_tableCreate a weight function selection table for MIDAS regression...
midasr documentation built on Feb. 23, 2021, 5:11 p.m.