mls: MIDAS lag structure

In midasr: Mixed Data Sampling Regression

MIDAS lag structure

Description

Create a matrix of selected MIDAS lags

Usage

mls(x, k, m, ...)

Arguments

x	a vector
k	a vector of lag orders, zero denotes contemporaneous lag.
m	frequency ratio
...	further arguments used in fitting MIDAS regression

Details

The function checks whether high frequency data is complete, i.e. m must divide length(x).

Value

a matrix containing the lags

Author(s)

Virmantas Kvedaras, Vaidotas Zemlys

Examples

## Quarterly frequency data
x <- 1:16
## Create MIDAS lag for use with yearly data
mls(x,0:3,4)

## Do not use contemporaneous lag
mls(x,1:3,4)

## Compares with embed when m=1
embed(x,2)
mls(x,0:1,1)

midasr documentation built on April 12, 2025, 1:19 a.m.