midas_si_plain function

MIDAS Single index regression

Function for fitting SI MIDAS regression without the formula interface

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

Arguments

• y: model response
• X: prepared matrix of high frequency variable lags for MMM term
• 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 , defaults to Nelder-Mead
• ...: additional parameters to optim

Returns

an object similar to midas_r object

Author(s)

Virmantas Kvedaras, Vaidotas Zemlys