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midasml (version 0.0.6)

midas_forecast: MIDAS regression prediction function

Description

Predicts from single variate MIDAS model estimated based on specification supplied to midas_estimate function.

Usage

midas_forecast(params, x, ylag, polynomial, ...)

Arguments

params

parameter vector from midas_estimate.

x

out-of-sample predictor variable data.

ylag

out-of-sample lagged dependent variable data.

polynomial

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).

Value

returns prediction value.

Details

For specficiation details, see midas_dl or midas_ardl function descriptions for more details.