mls function

MIDAS lag structure

Create a matrix of selected MIDAS lags

mls(x, k, m, ...)

Arguments

• x: a vector
• k: a vector of lag orders, zero denotes contemporaneous lag.
• m: frequency ratio
• ...: further arguments used in fitting MIDAS regression

Returns

a matrix containing the lags

Details

The function checks whether high frequency data is complete, i.e. m must divide length(x).

Examples

## Quarterly frequency data
x <- 1:16
## Create MIDAS lag for use with yearly data
mls(x,0:3,4)

## Do not use contemporaneous lag
mls(x,1:3,4)

## Compares with embed when m=1
embed(x,2)
mls(x,0:1,1)

Author(s)

Virmantas Kvedaras, Vaidotas Zemlys