agk.test: Andreou, Ghysels, Kourtellos LM test
In midasr: Mixed Data Sampling Regression
agk.test R Documentation
Andreou, Ghysels, Kourtellos LM test
Description
Perform the test whether hyperparameters of normalized exponential Almon lag weights are zero
Usage
agk.test(x)
Arguments
x
MIDAS regression object of class midas_r
Value
a htest object
Author(s)
Virmantas Kvedaras, Vaidotas Zemlys
References
Andreou E., Ghysels E., Kourtellos A. Regression models with mixed sampling frequencies Journal of Econometrics 158 (2010) 246-261
Examples
##' ##Load data
data("USunempr")
data("USrealgdp")
y <- diff(log(USrealgdp))
x <- window(diff(USunempr),start=1949)
t <- 1:length(y)
mr <- midas_r(y~t+fmls(x,11,12,nealmon),start=list(x=c(0,0,0)))
agk.test(mr)
midasr documentation built on April 12, 2025, 1:19 a.m.
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| agk.test | R Documentation |
Andreou, Ghysels, Kourtellos LM test
Description
Perform the test whether hyperparameters of normalized exponential Almon lag weights are zero
Usage
agk.test(x)
Arguments
x |
MIDAS regression object of class |
Value
a htest object
Author(s)
Virmantas Kvedaras, Vaidotas Zemlys
References
Andreou E., Ghysels E., Kourtellos A. Regression models with mixed sampling frequencies Journal of Econometrics 158 (2010) 246-261
Examples
##' ##Load data
data("USunempr")
data("USrealgdp")
y <- diff(log(USrealgdp))
x <- window(diff(USunempr),start=1949)
t <- 1:length(y)
mr <- midas_r(y~t+fmls(x,11,12,nealmon),start=list(x=c(0,0,0)))
agk.test(mr)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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