midasr (version 0.2)

midas_r_fast: Restricted MIDAS regression

Description

Fast function for fitting MIDAS regression

Usage

midas_r_fast(y, X, z = NULL, weight, grw = NULL, startx, startz = NULL,
  method = "BFGS", ...)

Arguments

y

model response

X

prepared matrix of high frequency variable lags

z

additional low frequency variables

weight

the weight function

grw

the gradient of weight function

startx

the starting values for weight function

startz

the starting values for additional low frequency variables

method

a method passed to optim

...

additional parameters to optim

Value

• a midas_r object