plot_midas_coef.midas_r: Plot MIDAS coefficients

In midasr: Mixed Data Sampling Regression

Description

Plots MIDAS coefficients of a MIDAS regression for a selected term.

Usage

plot_midas_coef(x, term_name, title, ...)

## S3 method for class 'midas_r'
plot_midas_coef(
  x,
  term_name = NULL,
  title = NULL,
  vcov. = sandwich,
  unrestricted = x$unrestricted,
  ...
)

Arguments

x	midas_r object
term_name	the term name for which the coefficients are plotted. Default is NULL, which selects the first MIDAS term
title	the title string of the graph. The default is NULL for the default title.
...	additional arguments passed to vcov.
vcov.	the covariance matrix to calculate the standard deviation of the cofficients
unrestricted	the unrestricted model, the default is unrestricted model from the x object. Set NULL to plot only the weights.

Details

Plots MIDAS coefficients of a selected MIDAS regression term together with corresponding MIDAS coefficients and their confidence intervals of unrestricted MIDAS regression

Value

a data frame with restricted MIDAS coefficients, unrestricted MIDAS coefficients and lower and upper confidence interval limits. The data frame is returned invisibly.

Author(s)

Virmantas Kvedaras, Vaidotas Zemlys

Examples

data("USrealgdp")
data("USunempr")

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

##24 high frequency lags of x included
mr <- midas_r(y ~ trend + fmls(x, 23, 12, nealmon), start = list(x = rep(0, 3)))

plot_midas_coef(mr)

Example output

Loading required package: sandwich
Loading required package: optimx

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