Predicts from single variate MIDAS model estimated based on specification supplied to midas_estimate
function.
midas_forecast(params, x, ylag, polynomial, ...)
parameter vector from midas_estimate
.
out-of-sample predictor variable data.
out-of-sample lagged dependent variable data.
polynomial specification.
optional parameters to feed into other functions.
step_idx
- index for step function polynomial specification (warning: if left unspecified, the program computes index the same way as in the estimation function),
legendre_degree
- the degree of Legendre polynomials (warning: if left unspecified, the program sets it to 3, the same way as in the estimation function).
returns prediction value.
For specficiation details, see midas_dl
or midas_ardl
function descriptions for more details.