midasr (version 0.9)

midas_r_np: Estimate non-parametric MIDAS regression

Description

Estimates non-parametric MIDAS regression

Usage

midas_r_np(formula, data, lambda = NULL)

Value

a midas_r_np object

Arguments

formula

formula specifying MIDAS regression

data

a named list containing data with mixed frequencies

lambda

smoothing parameter, defaults to NULL, which means that it is chosen by minimising AIC.

Author

Vaidotas Zemlys

Details

Estimates non-parametric MIDAS regression accodring Breitung et al.

References

Breitung J, Roling C, Elengikal S (2013). Forecasting inflation rates using daily data: A nonparametric MIDAS approach Working paper, URL http://www.ect.uni-bonn.de/mitarbeiter/joerg-breitung/npmidas.

Examples

data("USunempr")
data("USrealgdp")
y <- diff(log(USrealgdp))
x <- window(diff(USunempr),start=1949)
trend <- 1:length(y)
midas_r_np(y~trend+fmls(x,12,12))