midas_r_plain: Restricted MIDAS regression

In mpiktas/midasr: Mixed Data Sampling Regression

Restricted MIDAS regression

Description

Function for fitting MIDAS regression without the formula interface

Usage

midas_r_plain(
  y,
  X,
  z = NULL,
  weight,
  grw = NULL,
  startx,
  startz = NULL,
  method = c("Nelder-Mead", "BFGS"),
  ...
)

Arguments

y	model response
X	prepared matrix of high frequency variable lags
z	additional low frequency variables
weight	the weight function
grw	the gradient of weight function
startx	the starting values for weight function
startz	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

Examples

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

X<-fmls(x,11,12)

midas_r_plain(y,X,trend,weight=nealmon,startx=c(0,0,0))

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