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midasr (version 0.8)

midas_si_plain: MIDAS Single index regression

Description

Function for fitting SI MIDAS regression without the formula interface

Usage

midas_si_plain(
  y,
  X,
  p.ar = NULL,
  weight,
  degree = 1,
  start_bws,
  start_x,
  start_ar = NULL,
  method = "Nelder-Mead",
  ...
)

Value

an object similar to midas_r object

Arguments

y

model response

X

prepared matrix of high frequency variable lags for MMM term

p.ar

length of AR part

weight

the weight function

degree

the degree of local polynomial

start_bws

the starting values bandwith

start_x

the starting values for weight function

start_ar

the starting values for AR part. Should be the same length as p

method

a method passed to optim, defaults to Nelder-Mead

...

additional parameters to optim

Author

Virmantas Kvedaras, Vaidotas Zemlys