Produces weights for aggregates based MIDAS regression

1 |

`p` |
parameters for weight functions, see details. |

`d` |
number of high frequency lags |

`m` |
the frequency |

`weight` |
the weight function |

`type` |
type of structure, a string, one of A, B or C. |

Suppose a weight function *w(β,θ)* satisfies the following equation:

*w(β,θ)=β g(θ)*

The following combinations are defined, corresponding to structure types `A`

, `B`

and `C`

respectively:

*(w(β_1,θ_1),...,w(β_k,θ_k))*

*(w(β_1,θ),...,w(β_k,θ))*

*β(w(1,θ),...,w(1,θ)),*

where *k* is the number of low frequency lags, i.e. *d/m*. If the latter
value is not whole number, the error is produced.

The starting values *p* should be supplied then as follows:

*(β_1,θ_1,...,β_k,θ_k)*

*(β_1,...,β_k,θ)*

*(β,θ)*

a vector of weights

Virmantas Kvedaras, Vaidotas Zemlys

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