agk.test | R Documentation |
Perform the test whether hyperparameters of normalized exponential Almon lag weights are zero
agk.test(x)
x |
MIDAS regression object of class |
a htest
object
Virmantas Kvedaras, Vaidotas Zemlys
Andreou E., Ghysels E., Kourtellos A. Regression models with mixed sampling frequencies Journal of Econometrics 158 (2010) 246-261
##' ##Load data data("USunempr") data("USrealgdp") y <- diff(log(USrealgdp)) x <- window(diff(USunempr),start=1949) t <- 1:length(y) mr <- midas_r(y~t+fmls(x,11,12,nealmon),start=list(x=c(0,0,0))) agk.test(mr)
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