expand_amidas: Create table of weights, lags and starting values for Ghysels...

In midasr: Mixed Data Sampling Regression

Description

Create table of weights, lags and starting values for Ghysels weight schema, see amweights

Usage

expand_amidas(weight, type = c("A", "B", "C"), from = 0, to, m, start)

Arguments

weight	the names of weight functions
type	the type of Ghysels schema, "A", "B" or "C"
from	the high frequency lags from which to start the fitting
to	to a vector of length two, containing minimum and maximum lags, high frequency if m=1, low frequency otherwise.
m	the frequency ratio
start	the starting values for the weights of the one low frequency lag

Details

Given weight function creates lags starting from kmin to kmax and replicates starting values for each low frequency lag.

Value

a lws_table object, a list with elements weights, lags and starts

Author(s)

Virmantas Kvedaras, Vaidotas Zemlys

Examples

expand_amidas("nealmon","A",0,c(1,2),12,c(0,0,0))

Example output

Loading required package: sandwich
Loading required package: optimx
                  weights lags              starts
nealmon_A_12 nealmon_A_12 0:11          c(0, 0, 0)
nealmon_A_24 nealmon_A_24 0:23 c(0, 0, 0, 0, 0, 0)

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