midas_si_plain: MIDAS Single index regression

In midasr: Mixed Data Sampling Regression

Description

Function for fitting SI MIDAS regression without the formula interface

Usage

midas_si_plain(
  y,
  X,
  p.ar = NULL,
  weight,
  degree = 1,
  start_bws,
  start_x,
  start_ar = NULL,
  method = "Nelder-Mead",
  ...
)

Arguments

y	model response
X	prepared matrix of high frequency variable lags for MMM term
p.ar	length of AR part
weight	the weight function
degree	the degree of local polynomial
start_bws	the starting values bandwith
start_x	the starting values for weight function
start_ar	the starting values for AR part. Should be the same length as p
method	a method passed to optim, defaults to Nelder-Mead
...	additional parameters to optim

Value

an object similar to midas_r object

Author(s)

Virmantas Kvedaras, Vaidotas Zemlys

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