lstr

Compute LSTR term for high frequency variable

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

lstr function

<dl><dt>X</dt>
<dd>matrix, high frequency variable embedded in low frequency, output of mls</dd>
<dt>theta</dt>
<dd>vector, restriction coefficients for high frequency variable</dd>
<dt>beta</dt>
<dd>vector of length 4, parameters for LSTR term, slope and 3 LSTR parameters</dd>
<dt>sd_x</dt>
<dd>vector of length 1, defaults to standard deviation of X.</dd></dl>

Arguments

Compute LSTR term for high frequency variable — lstr

<dl>

<dt>X</dt>
<dd>matrix, high frequency variable embedded in low frequency, output of mls</dd>


<dt>theta</dt>
<dd>vector, restriction coefficients for high frequency variable</dd>


<dt>beta</dt>
<dd>vector of length 4, parameters for LSTR term, slope and 3 LSTR parameters</dd>


<dt>sd_x</dt>
<dd>vector of length 1, defaults to standard deviation of X.</dd>

</dl>

lstr: Compute LSTR term for high frequency variable

Description

Usage

Value

Arguments