midas_mmm_plain function

MMM (Mean-Min-Max) MIDAS regression

Function for fitting MMM MIDAS regression without the formula interface

midas_mmm_plain(
  y,
  X,
  z = NULL,
  weight,
  start_mmm,
  start_x,
  start_z = NULL,
  method = c("Nelder-Mead"),
  ...
)

Arguments

• y: model response
• X: prepared matrix of high frequency variable lags for MMM term
• z: additional low frequency variables
• weight: the weight function
• start_mmm: the starting values for MMM term
• start_x: the starting values for weight function
• start_z: the starting values for additional low frequency variables
• method: a method passed to optimx
• ...: additional parameters to optimx

Returns

an object similar to midas_r object

Author(s)

Virmantas Kvedaras, Vaidotas Zemlys