midas_r_plain function

Restricted MIDAS regression

Function for fitting MIDAS regression without the formula interface

midas_r_plain(
  y,
  X,
  z = NULL,
  weight,
  grw = NULL,
  startx,
  startz = NULL,
  method = c("Nelder-Mead", "BFGS"),
  ...
)

Arguments

• y: model response
• X: prepared matrix of high frequency variable lags
• z: additional low frequency variables
• weight: the weight function
• grw: the gradient of weight function
• startx: the starting values for weight function
• startz: 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

Examples

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

X<-fmls(x,11,12)

midas_r_plain(y,X,trend,weight=nealmon,startx=c(0,0,0))

Author(s)

Virmantas Kvedaras, Vaidotas Zemlys