nealmon function

Normalized Exponential Almon lag MIDAS coefficients

Calculate normalized exponential Almon lag coefficients given the parameters and required number of coefficients.

nealmon(p, d, m)

Arguments

• p: parameters for Almon lag
• d: number of the coefficients
• m: the frequency, currently ignored.

Returns

vector of coefficients

Details

Given unrestricted MIDAS regression

normalized exponential Almon lag restricts the coefficients $theta_h$ in the following way:

The parameter $\delta$ should be the first element in vector p. The degree of the polynomial is then decided by the number of the remaining parameters.

Examples

##Load data
data("USunempr")
data("USrealgdp")

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

midas_r(y~t+fmls(x,11,12,nealmon),start=list(x=c(0,0,0)))

Author(s)

Virmantas Kvedaras, Vaidotas Zemlys