demo/pl.R

In mpiktas/midasr: Mixed Data Sampling Regression

set.seed(131313)


do_n_pl <- function(n) {
  dgp <- midas_pl_sim(n, m = 12, theta = nbeta(c(1.5, 2, 4), 24), gfun = function(x) 0.25 * x^3, ar.x = 0.9, ar.y = 0.5, n.start = 100)

  X <- mls(dgp$x, 0:23, 12)

  pl_mod <- midas_pl_plain(dgp$y, X, dgp$z,
    p.ar = 2L, nbeta, degree = 1, start_bws = 0, start_x = c(1.5, 2, 4), start_ar = c(0.5, 0),
    method = "Nelder-Mead", itnmax = 5000
  )
  list(dgp = dgp, pl = pl_mod)
}

t1 <- system.time(sim_pl <- lapply(c(250, 500), do_n_pl))

t2 <- system.time(mpl <- midas_sp(y ~ mlsd(y, 1:2, y) + mlsd(x, 0:23, y, nbeta) | z,
  bws = 0, degree = 1, data = sim_pl[[1]]$dgp,
  start = list(x = c(1.5, 2, 4), y = c(0.5, 0)), method = "Nelder-Mead", control = list(maxit = 5000)
))