plot_midas_coef.midas_r function

Plot MIDAS coefficients

Plots MIDAS coefficients of a MIDAS regression for a selected term.

plot_midas_coef(x, term_name, title, ...)

## S3 method for class 'midas_r'
plot_midas_coef(
  x,
  term_name = NULL,
  title = NULL,
  vcov. = sandwich,
  unrestricted = x$unrestricted,
  ...
)

Arguments

• x: midas_r object
• term_name: the term name for which the coefficients are plotted. Default is NULL, which selects the first MIDAS term
• title: the title string of the graph. The default is NULL for the default title.
• ...: additional arguments passed to vcov.
• vcov.: the covariance matrix to calculate the standard deviation of the cofficients
• unrestricted: the unrestricted model, the default is unrestricted model from the x object. Set NULL to plot only the weights.

Returns

a data frame with restricted MIDAS coefficients, unrestricted MIDAS coefficients and lower and upper confidence interval limits. The data frame is returned invisibly.

Details

Plots MIDAS coefficients of a selected MIDAS regression term together with corresponding MIDAS coefficients and their confidence intervals of unrestricted MIDAS regression

Examples

data("USrealgdp")
data("USunempr")

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

##24 high frequency lags of x included
mr <- midas_r(y ~ trend + fmls(x, 23, 12, nealmon), start = list(x = rep(0, 3)))

plot_midas_coef(mr)

Author(s)

Virmantas Kvedaras, Vaidotas Zemlys