midasr (version 0.9)

agk.test: Andreou, Ghysels, Kourtellos LM test

Description

Perform the test whether hyperparameters of normalized exponential Almon lag weights are zero

Usage

agk.test(x)

Value

a htest object

Arguments

x

MIDAS regression object of class midas_r

Author

Virmantas Kvedaras, Vaidotas Zemlys

References

Andreou E., Ghysels E., Kourtellos A. Regression models with mixed sampling frequencies Journal of Econometrics 158 (2010) 246-261

Examples

##' ##Load data
data("USunempr")
data("USrealgdp")

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

mr <- midas_r(y~t+fmls(x,11,12,nealmon),start=list(x=c(0,0,0)))

agk.test(mr)