lag_num

<p>number of high-frequency lags to construct in high-frequency time units.</p>

x.lag

period

unit

internal

The 'midasml' estimation and prediction methods for high dimensional time series regression models under mixed data sampling data structures using structured-sparsity penalties and orthogonal polynomials. For more information on the 'midasml' approach see Babii, Ghysels, and Striaukas (2021, JBES forthcoming) <doi:10.1080/07350015.2021.1899933>. Functions that compute MIDAS data structures were inspired by MIDAS 'Matlab' toolbox (v2.3) written by Eric Ghysels.

Jonas Striaukas

midasml

Estimation and Prediction Methods for High-Dimensional Mixed
Frequency Time Series Data

lag_num function

Compute the number of lags — lag_num

Compute the number of lags

lag_num: Compute the number of lags

Description

Usage

Arguments

Value