Last data update: 2014.03.03
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R: Restricted MIDAS regression
midas_r_simple | R Documentation |
Restricted MIDAS regression
Description
Function for fitting MIDAS regression without the formula interface
Usage
midas_r_simple(y, X, z = NULL, weight, grw = NULL, startx, startz = NULL,
method = c("Nelder-Mead", "BFGS"), ...)
Arguments
y |
model response
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X |
prepared matrix of high frequency variable lags
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z |
additional low frequency variables
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weight |
the weight function
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grw |
the gradient of weight function
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startx |
the starting values for weight function
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startz |
the starting values for additional low frequency variables
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method |
a method passed to optimx
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... |
additional parameters to optimx
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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_simple(y,X,trend,weight=nealmon,startx=c(0,0,0))
Results
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