mixed_freq_data function

MIDAS data structure

Creates a MIDAS data structure for a single high-frequency covariate and a single low-frequency dependent variable.

mixed_freq_data(data.y, data.ydate, data.x, data.xdate, x.lag, y.lag, 
  horizon, est.start, est.end, disp.flag = TRUE)

Arguments

• data.y: n by 1 low-frequency time series data vector.
• data.ydate: n by 1 low-frequency time series date vector.
• data.x: m by 1 high-frequency time series data vector.
• data.xdate: m by 1 high-frequency time series date vector.
• x.lag: number of high-frequency lags to construct in high-frequency time units.
• y.lag: number of low-frequency lags to construct in low-frequency time units.
• horizon: forecast horizon relative to data.ydate date in high-frequency time units.
• est.start: estimation start date, taken as the first ... .
• est.end: estimation end date, taken as the last ... . Remaining data after this date is dropped to out-of-sample evaluation data.
• disp.flag: display flag to indicate whether or not to display obtained MIDAS data structure in console.

Returns

a list of MIDAS data structure.

Examples

data(us_rgdp)
rgdp <- us_rgdp$rgdp
payems <- us_rgdp$payems
payems[-1, 2] <- log(payems[-1, 2]/payems[-dim(payems)[1], 2])*100
payems <- payems[-1, ]
rgdp[-1, 2] <- ((rgdp[-1, 2]/rgdp[-dim(rgdp)[1], 2])^4-1)*100
rgdp <- rgdp[-1, ]
est.start <- as.Date("1990-01-01")
est.end <- as.Date("2002-03-01")
mixed_freq_data(rgdp[,2], as.Date(rgdp[,1]), payems[,2], 
  as.Date(payems[,1]), x.lag = 9, y.lag = 4, horizon = 1, 
  est.start, est.end, disp.flag = FALSE)

Author(s)

Jonas Striaukas