nealmon | R Documentation |
Calculate normalized exponential Almon lag coefficients given the parameters and required number of coefficients.
nealmon(p, d, m)
p |
parameters for Almon lag |
d |
number of the coefficients |
m |
the frequency, currently ignored. |
Given unrestricted MIDAS regression
y_t=∑_{h=0}^dθ_{h}x_{tm-h}+\mathbf{z_t}β+u_t
normalized exponential Almon lag restricts the coefficients theta_h in the following way:
θ_{h}=δ\frac{\exp(λ_1(h+1)+…+ λ_r(h+1)^r)}{∑_{s=0}^d\exp(λ_1(s+1)+…+λ_r(h+1)^r)}
The parameter δ should be the first element in vector p
. The degree of
the polynomial is then decided by the number of the remaining parameters.
vector of coefficients
Virmantas Kvedaras, Vaidotas Zemlys
##Load data data("USunempr") data("USrealgdp") y <- diff(log(USrealgdp)) x <- window(diff(USunempr),start=1949) t <- 1:length(y) midas_r(y~t+fmls(x,11,12,nealmon),start=list(x=c(0,0,0)))
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