fmls

Create a matrix of MIDAS lags, including contemporaneous lag up to selected order.

Methods and tools for mixed frequency time series data analysis.
Allows estimation, model selection and forecasting for MIDAS regressions.

Vaidotas Zemlys

midasr

Mixed Data Sampling Regression

Vaidotas Zemlys-Balevičius

Virmantas Kvedaras

fmls function

<dl><dt>x</dt>
<dd>a vector</dd>
<dt>k</dt>
<dd>maximum lag order</dd>
<dt>m</dt>
<dd>frequency ratio</dd>
<dt>...</dt>
<dd>further arguments</dd></dl>

Arguments

Virmantas Kvedaras, Vaidotas Zemlys

Author

Full MIDAS lag structure — fmls

<dl>

<dt>x</dt>
<dd>a vector</dd>


<dt>k</dt>
<dd>maximum lag order</dd>


<dt>m</dt>
<dd>frequency ratio</dd>


<dt>...</dt>
<dd>further arguments</dd>

</dl>

fmls: Full MIDAS lag structure

Description

Usage

Value

Arguments

Author

Details

See Also