dmls function

MIDAS lag structure for unit root processes

Prepares MIDAS lag structure for unit root processes

dmls(x, k, m, ...)

Arguments

• x: a vector
• k: maximal lag order
• m: frequency ratio
• ...: further arguments used in fitting MIDAS regression

Returns

a matrix containing the first differences and the lag k+1.

Author(s)

Virmantas Kvedaras, Vaidotas Zemlys