midasr (version 0.3)

midas_r_simple: Restricted MIDAS regression

Description

Function for fitting MIDAS regression without the formula interface

Usage

midas_r_simple(y, X, z = NULL, weight, grw = NULL, startx, startz = NULL,
  method = c("Nelder-Mead", "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 optimx

...

additional parameters to optimx

Value

• an object similar to midas_r object

Examples

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

X<-fmls(x,11,12)

midas_r_simple(y,X,trend,weight=nealmon,startx=c(0,0,0))