Compute MMM 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

mmm 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 2, parameters for MMM term, slope and MMM parameter.</dd>
<dt>..., </dt>
<dd>currently not used</dd></dl>

Arguments

Compute MMM term for high frequency variable — mmm

<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 2, parameters for MMM term, slope and MMM parameter.</dd>


<dt>..., </dt>
<dd>currently not used</dd>

</dl>

mmm: Compute MMM term for high frequency variable

Description

Usage

Value

Arguments