midas_pl_sim function

Simulate PL MIDAS regression model

midas_pl_sim(
  n,
  m,
  theta,
  gfun,
  ar.x,
  ar.y,
  rand.gen = rnorm,
  n.start = NA,
  ...
)

Arguments

• n: number of observations to simulate.
• m: integer, frequency ratio
• theta: vector, restriction coefficients for high frequency variable
• gfun: function, a function which takes a single index
• ar.x: vector, AR parameters for simulating high frequency variable
• ar.y: vector, AR parameters for AR part of the model
• rand.gen: function, a function for generating the regression innovations, default is rnorm
• n.start: integer, length of a 'burn-in' period. If NA, the default, a reasonable value is computed.
• ...: additional parameters to rand.gen

Returns

a list

Examples

nnbeta <- function(p, k) nbeta(c(1,p),k)

dgp <- midas_pl_sim(250, m = 12, theta = nnbeta(c(2, 4), 24), 
                           gfun = function(x) 0.25*x^3, 
                           ar.x = 0.9, ar.y = 0.5, n.start = 100)