midasr (version 0.9)

mls: MIDAS lag structure

Description

Create a matrix of selected MIDAS lags

Usage

mls(x, k, m, ...)

Value

a matrix containing the lags

Arguments

x

a vector

k

a vector of lag orders, zero denotes contemporaneous lag.

m

frequency ratio

...

further arguments used in fitting MIDAS regression

Author

Virmantas Kvedaras, Vaidotas Zemlys

Details

The function checks whether high frequency data is complete, i.e. m must divide length(x).

Examples

## Quarterly frequency data
x <- 1:16
## Create MIDAS lag for use with yearly data
mls(x,0:3,4)

## Do not use contemporaneous lag
mls(x,1:3,4)

## Compares with embed when m=1
embed(x,2)
mls(x,0:1,1)