midas_mmm_plain: MMM (Mean-Min-Max) MIDAS regression

In mpiktas/midasr: Mixed Data Sampling Regression

MMM (Mean-Min-Max) MIDAS regression

Description

Function for fitting MMM MIDAS regression without the formula interface

Usage

midas_mmm_plain(
  y,
  X,
  z = NULL,
  weight,
  start_mmm,
  start_x,
  start_z = NULL,
  method = c("Nelder-Mead"),
  ...
)

Arguments

y	model response
X	prepared matrix of high frequency variable lags for MMM term
z	additional low frequency variables
weight	the weight function
start_mmm	the starting values for MMM term
start_x	the starting values for weight function
start_z	the starting values for additional low frequency variables
method	a method passed to optimx
...	additional parameters to optimx

Value

an object similar to midas_r object

Author(s)

Virmantas Kvedaras, Vaidotas Zemlys

mpiktas/midasr documentation built on Aug. 24, 2022, 2:32 p.m.