rumidas (version 0.1.3)

exp_almon: Exponential Almon Lag

Description

Represents a tool able to accommodate various lag structures for the additional MIDAS variable observed each "low-frequency" period \(t\). It can have a monotonically increasing, decreasing weighting scheme or a hump-shaped weighting scheme. As in ghysels_2007;textualrumidas, here the function form uses only two parameters: $$\delta_k(\omega_1, \omega_2) = \frac{exp(\omega_{1}k + \omega_2 k^2)}{\sum_{k=1}^K exp(\omega_1 k + \omega_2 k^2)}.$$ For additional details, see almon_1965;textualrumidas and ghysels_2007;textualrumidas.

Usage

exp_almon(k, K, w1, w2)

Value

The weights associated to each lag \(k\), with \(k=1,\cdots,K\).

Arguments

k

Lag of interest.

K

Number of (lagged) realizations to consider.

w1, w2

Parameters governing the weights of each \(k\) lag.

References

Examples

# suppose to have four lags: 
# K<-4 # Note: the number of lags to consider
# w1<-1	
# w2<- -0.5 # by setting w2<0, the monotonically decreasing weighting scheme is used
exp_almon(1:4,K=4,w1=0.1,w2=-0.5)