midasr (version 0.2)

midas_r_ic_table: Create a weight and lag selection table for MIDAS regression model

Description

Creates a weight and lag selection table for MIDAS regression model with given information criteria and minimum and maximum lags.

Usage

midas_r_ic_table(formula, ...)
## S3 method for class 'default':
midas_r_ic_table(formula, data = NULL, start = NULL,
  table, IC = c("AIC", "BIC"), test = c("hAh.test"), Ofunction = "optim",
  user.gradient = FALSE, showprogress = TRUE, ...)

Arguments

formula

the formula for MIDAS regression, the lag selection is performed for the last MIDAS lag term in the formula

data

a list containing data with mixed frequencies

start

the starting values for optimisation excluding the starting values for the last term

table

an wls_table object, see expand_weights_lags

IC

the names of information criteria which to compute

test

the names of statistical tests to perform on restricted model, p-values are reported in the columns of model selection table

Ofunction

see midasr

user.gradient

see midas_r

showprogress

logical, TRUE to show progress bar, FALSE for silent evaluation

...

additional parameters to optimisation function, see midas_r

Value

• a midas_r_ic_table object which is the list with the following elements:
• table
  the table where each row contains calculated information criteria for both restricted and unrestricted MIDAS regression model with given lag structure
• candlist
  the list containing fitted models
• IC
  the argument IC

Details

This function estimates models sequentially increasing the midas lag from kmin to kmax and varying the weights of the last term of the given formula

Examples

data("USunempr")
data("USrealgdp")
y <- diff(log(USrealgdp))
x <- window(diff(USunempr),start=1949)
trend <- 1:length(y)


mwlr <- midas_r_ic_table(y~trend+fmls(x,12,12,nealmon),
                   table=list(x=list(weights=
                   as.list(c("nealmon","nealmon","nbeta")),
                   lags=list(0:4,0:5,0:6),
                   starts=list(rep(0,3),rep(0,3,),c(1,1,1,0)))))

mwlr