spec_mat_comp: This function sets-up the spectral matrix for closed-form...

In wiaidp/MDFA: Signalextraction and Forecasting Based on the Multivariate Direct Filter Approach (MDFA)

Description

This function sets-up the spectral matrix for closed-form solution of the optimization problem in the multivariate case: it relies on the multivariate DFT; it organizes lead/lags in the case of mixed-frequency data.

Usage

spec_mat_comp(weight_func, L, Lag, c_eta, lag_mat)

Arguments

weight_func	DFT-matrix or alternative (for example model-based) estimate: first column is the target variable, additional columns are explanatory variables
L	Filter-length
Lag	Nowcast (Lag=0), Forecast (Lag<0), Backcast (Lag>0)
c_eta	Boolean weight of frequency zero (default is F)
lag_mat	Matrix for implementing effective lags in a mixed-frequency setting

Value

spec_mat Spectral matrix set-up for closed-form solution of optimization problem

wiaidp/MDFA documentation built on June 26, 2019, 1:07 p.m.