lstr: Compute LSTR term for high frequency variable

In midasr: Mixed Data Sampling Regression

Description

Compute LSTR term for high frequency variable

Usage

lstr(X, theta, beta, sd_x = sd(c(X), na.rm = TRUE))

Arguments

X	matrix, high frequency variable embedded in low frequency, output of mls
theta	vector, restriction coefficients for high frequency variable
beta	vector of length 4, parameters for LSTR term, slope and 3 LSTR parameters
sd_x	vector of length 1, defaults to standard deviation of X.

Value

a vector

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