genexp_gradient: Gradient of feneralized exponential MIDAS coefficient generating function
Description
Calculates the gradient of generalized exponential MIDAS lag specification
Usage
genexp_gradient(p, d, m)
Arguments
p
a vector of parameters
d
number of coefficients
m
the frequency, currently ignored
Value
a vector of coefficients
Details
Generalized exponential MIDAS lag specification is a generalization of exponential
Almon lag. It is defined as a product of first order polynomial with exponent
of the second order polynomial. This spefication was used by V. Kvedaras and
V. Zemlys (2012).
References
Kvedaras V., Zemlys, V. Testing the functional constraints on parameters in regressions with variables of different frequency Economics Letters 116 (2012) 250-254