View source: R/nonparametric.R
midas_r_np | R Documentation |
Estimates non-parametric MIDAS regression
midas_r_np(formula, data, lambda = NULL)
formula |
formula specifying MIDAS regression |
data |
a named list containing data with mixed frequencies |
lambda |
smoothing parameter, defaults to |
Estimates non-parametric MIDAS regression accodring Breitung et al.
a midas_r_np
object
Vaidotas Zemlys
Breitung J, Roling C, Elengikal S (2013). Forecasting inflation rates using daily data: A nonparametric MIDAS approach Working paper, URL http://www.ect.uni-bonn.de/mitarbeiter/joerg-breitung/npmidas.
data("USunempr") data("USrealgdp") y <- diff(log(USrealgdp)) x <- window(diff(USunempr),start=1949) trend <- 1:length(y) midas_r_np(y~trend+fmls(x,12,12))
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.