mlsd: MIDAS lag structure with dates

In midasr: Mixed Data Sampling Regression

Description

MIDAS lag structure with dates

Usage

mlsd(x, k, datey, ...)

Arguments

x	a vector
k	lags, a vector
datey	low frequency dates
...	further arguments used in fitting MIDAS regression

Value

a matrix containing the first differences and the lag k+1.

Author(s)

Virmantas Kvedaras, Vaidotas Zemlys-Balevičius

Examples

x <- c(1:144)
y <- c(1:12)
datey <- (y-1)*12+1

#msld and mls should give the same results

m1 <- mlsd(x, 0:5, datey)

m2 <- mls(x, 0:5, 12)

sum(abs(m1 - m2))

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