Restricted MIDAS regression

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Description

Function for fitting MIDAS regression without the formula interface

Usage

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midas_r_simple(y, X, z = NULL, weight, grw = NULL, startx, startz = NULL,
  method = c("Nelder-Mead", "BFGS"), ...)

Arguments

y

model response

X

prepared matrix of high frequency variable lags

z

additional low frequency variables

weight

the weight function

grw

the gradient of weight function

startx

the starting values for weight function

startz

the starting values for additional low frequency variables

method

a method passed to optimx

...

additional parameters to optimx

Value

an object similar to midas_r object

Author(s)

Virmantas Kvedaras, Vaidotas Zemlys

Examples

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data("USunempr")
data("USrealgdp")
y <- diff(log(USrealgdp))
x <- window(diff(USunempr),start=1949)
trend <- 1:length(y)

X<-fmls(x,11,12)

midas_r_simple(y,X,trend,weight=nealmon,startx=c(0,0,0))

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