a vector of lag orders, zero denotes contemporaneous lag.
m
frequency ratio
...
further arguments used in fitting MIDAS regression
Details
The function checks whether high frequency data is complete, i.e. m must divide length(x).
Value
a matrix containing the lags
Author(s)
Virmantas Kvedaras, Vaidotas Zemlys
Examples
## Quarterly frequency data
x <- 1:16
## Create MIDAS lag for use with yearly data
mls(x,0:3,4)
## Do not use contemporaneous lag
mls(x,1:3,4)
## Compares with embed when m=1
embed(x,2)
mls(x,0:1,1)