demo/okun.R

##More details about the models can be found in the article
##"The statistical content and empirical testing of the MIDAS restrictions"
##by Virmantas Kvedaras and Vaidotas Zemlys

library(midasr)
data("USunempr")
data("USrealgdp")

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

allk <- lapply(c(12,15,18,24)-1, function(k) {
  update(midas_r(y~trend+fmls(x,k,12,nealmon),start=list(x=rep(0,3))),Ofunction="nls")
})
                                                
####Compute the derivative test                
dtest <- lapply(allk,deriv_tests)

###The first derivative tests, gradient is zero
sapply(dtest,with,first)
                
###The second derivative tests, hessian is positive definite
sapply(dtest,with,second)

###The minimal eigenvalue of hessian is borderline zero, yet positive.
sapply(dtest,with,min(eigenval))

###Apply hAh test
lapply(allk,hAh_test)

###Apply robust hAh test
lapply(allk,hAhr_test)

###View summaries
lapply(allk,summary)

##Plot the coefficients
dev.new()
par(mfrow=c(2,2))


plot_info <- lapply(allk,function(x){
    k <- length(coef(x,midas=TRUE,term="x"))
    ttl <- sprintf("d = %.0f: p-val.(hAh_HAC) < %.2f", k, max(hAhr_test(x)$p.value, 0.01))
    plot_midas_coef(x,title=ttl)
})

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midasr documentation built on May 29, 2017, 4:12 p.m.