mixed_freq_data_single function

MIDAS data structure

Creates a MIDAS data structure for a single high-frequency covariate based on low-frequency reference date.

mixed_freq_data_single(data.refdate, data.x, data.xdate, x.lag, horizon,
  est.start, est.end, disp.flag = TRUE)

Arguments

• data.refdate: n by 1 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.
• horizon: forecast horizon relative to data.refdate 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 strcuture in console.

Returns

a list of midas data structure.

Examples

data(us_rgdp)
rgdp <- us_rgdp$rgdp
cfnai <- us_rgdp$cfnai
data.refdate <- rgdp$date
data.x <- cfnai$cfnai
data.xdate <- cfnai$date
est.start <- as.Date("1990-01-01")
est.end <- as.Date("2002-03-01")
mixed_freq_data_single(data.refdate, data.x, data.xdate, x.lag = 12, horizon = 1,
 est.start, est.end, disp.flag = FALSE)

Author(s)

Jonas Striaukas