genexp_gradient function

Gradient of generalized exponential MIDAS coefficient generating function

Calculates the gradient of generalized exponential MIDAS lag specification

genexp_gradient(p, d, m)

Arguments

• p: a vector of parameters
• d: number of coefficients
• m: the frequency, currently ignored

Returns

a vector of coefficients

Details

Generalized exponential MIDAS lag specification is a generalization of exponential Almon lag. It is defined as a product of first order polynomial with exponent of the second order polynomial. This spefication was used by V. Kvedaras and V. Zemlys (2012).

References

Kvedaras V., Zemlys, V. Testing the functional constraints on parameters in regressions with variables of different frequency Economics Letters 116 (2012) 250-254

Author(s)

Virmantas Kvedaras, Vaidotas Zemlys