MIDAS lag structure with dates
mlsd(x, k, datey, ...)
a vector
lags, a vector
low frequency dates
further arguments used in fitting MIDAS regression
a matrix containing the first differences and the lag k+1.
# NOT RUN { x <- c(1:144) y <- c(1:12) datey <- (y-1)*12+1 #msld and mls should give the same results m1 <- mlsd(x, 0:5, datey) m2 <- mls(x, 0:5, 12) sum(abs(m1 - m2)) # }
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