midas_pl_plain function

MIDAS Partialy linear non-parametric regression

Function for fitting PL MIDAS regression without the formula interface

midas_pl_plain(
  y,
  X,
  z,
  p.ar = NULL,
  weight,
  degree = 1,
  start_bws,
  start_x,
  start_ar = NULL,
  method = c("Nelder-Mead"),
  ...
)

Arguments

• y: model response
• X: prepared matrix of high frequency variable lags for MMM term
• z: a vector, data for the non-parametric part
• p.ar: length of AR part
• weight: the weight function
• degree: the degree of local polynomial
• start_bws: the starting values bandwith
• start_x: the starting values for weight function
• start_ar: the starting values for AR part. Should be the same length as p
• method: a method passed to optim
• ...: additional parameters to optim

Returns

an object similar to midas_r object

Author(s)

Virmantas Kvedaras, Vaidotas Zemlys