midasml (version 0.0.6)

midasar_pr: Computes fast ARDL-MIDAS profiling solution

Description

Computes fast ARDL-MIDAS profiling solution

Usage

midasar_pr(Y, YLAG, X, intercept, tau, which_loss, num_evals)

Arguments

Y

(vec) vector of response.

YLAG

(mat) matrix of lagged values of Y.

X

(mat) matrix of covariates.

intercept

(double) 1 - includes intercept, else not.

tau

(double) quantile level.

which_loss

loss function choice. 1 - mse, 2 - als, 3 - rq.

num_evals

number of evalution points of MIDAS parameter.