midasr (version 0.3)

amweights: Weights for aggregates based MIDAS regressions

Description

Produces weights for aggregates based MIDAS regression

Usage

amweights(p, d, m, weight = nealmon, type = c("A", "B", "C"))

Arguments

p

parameters for weight functions, see details.

d

number of lags

m

the frequency

weight

the weight function

type

type of structure, a string, one of A, B or C.

Value

• a vector of weights

Details

Given a weight function $w(\beta,\theta)$ which has a property of being defined as $\beta g(\theta)$ the following combinations are defined, corresponding to structure types A, B and C respectively: $$(w(\beta_1,\theta_1),...,w(\beta_k,\theta_k))$$ $$(w(\beta_1,\theta),...,w(\beta_k,\theta))$$ $$\beta(w(1,\theta_1),...,w(1,\theta_k))$$

The starting values $p$ should be supplied then as follows: $$(\beta_1,\theta_1,...,\beta_k,\theta_k)$$ $$(\beta_1,...,\beta_k,\theta)$$ $$(\beta,\theta_1,...,\theta_k)$$