midas_r_np function

Estimate non-parametric MIDAS regression

Estimates non-parametric MIDAS regression

midas_r_np(formula, data, lambda = NULL)

Arguments

• formula: formula specifying MIDAS regression
• data: a named list containing data with mixed frequencies
• lambda: smoothing parameter, defaults to NULL, which means that it is chosen by minimising AIC.

Returns

a midas_r_np object

Details

Estimates non-parametric MIDAS regression accodring Breitung et al.

Examples

data("USunempr")
data("USrealgdp")
y <- diff(log(USrealgdp))
x <- window(diff(USunempr),start=1949)
trend <- 1:length(y)
midas_r_np(y~trend+fmls(x,12,12))

References

Breitung J, Roling C, Elengikal S (2013). Forecasting inflation rates using daily data: A nonparametric MIDAS approach Working paper, URL http://www.ect.uni-bonn.de/mitarbeiter/joerg-breitung/npmidas.

Author(s)

Vaidotas Zemlys