lstr function

Compute LSTR term for high frequency variable

lstr(X, theta, beta, sd_x = sd(c(X), na.rm = TRUE))

Arguments

• X: matrix, high frequency variable embedded in low frequency, output of mls
• theta: vector, restriction coefficients for high frequency variable
• beta: vector of length 4, parameters for LSTR term, slope and 3 LSTR parameters
• sd_x: vector of length 1, defaults to standard deviation of X.

Returns

a vector