deriv_tests
(Package: midasr) :
Check whether non-linear least squares restricted MIDAS regression problem has converged
Computes the gradient and hessian of the optimisation function of restricted MIDAS regression and checks whether the conditions of local optimum are met. Numerical estimates are used.
● Data Source:
CranContrib
● Keywords:
● Alias: deriv_tests, deriv_tests.midas_r
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midas_auto_sim
(Package: midasr) :
Simulate simple autoregressive MIDAS model
Given the predictor variable, the weights and autoregressive coefficients, simulate MIDAS regression response variable.
● Data Source:
CranContrib
● Keywords:
● Alias: midas_auto_sim
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prep_hAh
(Package: midasr) :
Calculate data for link{hAh_test
Workhorse function for calculating necessary matrices for hAh_test and hAhr_test. Takes the same parameters as hAh_test
● Data Source:
CranContrib
● Keywords:
● Alias: prep_hAh
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hAh_test
(Package: midasr) :
Test restrictions on coefficients of MIDAS regression
Perform a test whether the restriction on MIDAS regression coefficients holds.
● Data Source:
CranContrib
● Keywords:
● Alias: hAh_test
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coef.midas_r
(Package: midasr) :
Extract coefficients of MIDAS regression
Extracts various coefficients of MIDAS regression
● Data Source:
CranContrib
● Keywords:
● Alias: coef.midas_r
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nbetaMT_gradient
(Package: midasr) :
Gradient function for normalized beta probability density function MIDAS weights specification (MATLAB toolbox compatible)
Gradient function for normalized beta probability density function MIDAS weights specification (MATLAB toolbox compatible) Calculate gradient function for normalized beta probability density function specification of MIDAS weights.
● Data Source:
CranContrib
● Keywords:
● Alias: nbetaMT_gradient
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mls
(Package: midasr) :
MIDAS lag structure
Create a matrix of selected MIDAS lags
● Data Source:
CranContrib
● Keywords:
● Alias: mls
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midas_r_simple
(Package: midasr) :
Restricted MIDAS regression
Function for fitting MIDAS regression without the formula interface
● Data Source:
CranContrib
● Keywords:
● Alias: midas_r_simple
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amidas_table
(Package: midasr) :
Weight and lag selection table for aggregates based MIDAS regression model
Create weight and lag selection table for the aggregates based MIDAS regression model
● Data Source:
CranContrib
● Keywords:
● Alias: amidas_table
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expand_amidas
(Package: midasr) :
Create table of weights, lags and starting values for Ghysels weight schema
Create table of weights, lags and starting values for Ghysels weight schema, see amweights
● Data Source:
CranContrib
● Keywords:
● Alias: expand_amidas
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