coef.midas_r: Extract coefficients of MIDAS regression

In midasr: Mixed Data Sampling Regression

Description

Extracts various coefficients of MIDAS regression

Usage

## S3 method for class 'midas_r'
coef(object, midas = FALSE, term_names = NULL, ...)

Arguments

object	midas_r object
midas	logical, if TRUE, MIDAS coefficients are returned, if FALSE (default), coefficients of NLS problem are returned
term_names	a character vector with term names. Default is NULL, which means that coefficients of all the terms are returned
...	not used currently

Details

MIDAS regression has two sets of cofficients. The first set is the coefficients associated with the parameters of weight functions associated with MIDAS regression terms. These are the coefficients of the NLS problem associated with MIDAS regression. The second is the coefficients of the linear model, i.e the values of weight functions of terms, or so called MIDAS coefficients. By default the function returns the first set of the coefficients.

Value

a vector with coefficients

Author(s)

Vaidotas Zemlys

Examples

#Simulate MIDAS regression
n<-250
trend<-c(1:n)
x<-rnorm(4*n)
z<-rnorm(12*n)
fn.x <- nealmon(p=c(1,-0.5),d=8)
fn.z <- nealmon(p=c(2,0.5,-0.1),d=17)
y<-2+0.1*trend+mls(x,0:7,4)%*%fn.x+mls(z,0:16,12)%*%fn.z+rnorm(n)
eqr<-midas_r(y ~ trend + mls(x, 0:7, 4, nealmon) +
             mls(z, 0:16, 12, nealmon),
             start = list(x = c(1, -0.5), z = c(2, 0.5, -0.1)))

coef(eqr)
coef(eqr, term_names = "x")
coef(eqr, midas = TRUE)
coef(eqr, midas = TRUE, term_names = "x")

midasr documentation built on Feb. 23, 2021, 5:11 p.m.