mlsd function

MIDAS lag structure with dates

mlsd(x, k, datey, ...)

Arguments

• x: a vector
• k: lags, a vector
• datey: low frequency dates
• ...: further arguments used in fitting MIDAS regression

Returns

a matrix containing the first differences and the lag k+1.

Examples

x <- c(1:144)
y <- c(1:12)
datey <- (y-1)*12+1

#msld and mls should give the same results

m1 <- mlsd(x, 0:5, datey)

m2 <- mls(x, 0:5, 12)

sum(abs(m1 - m2))

Author(s)

Virmantas Kvedaras, Vaidotas Zemlys-Balevičius