amweights {midasr} | R Documentation |
Weights for aggregates based MIDAS regressions
Description
Produces weights for aggregates based MIDAS regression
Usage
amweights(p, d, m, weight = nealmon, type = c("A", "B", "C"))
Arguments
p |
parameters for weight functions, see details. |
d |
number of high frequency lags |
m |
the frequency |
weight |
the weight function |
type |
type of structure, a string, one of A, B or C. |
Details
Suppose a weight function satisfies the following equation:
The following combinations are defined, corresponding to structure types A
, B
and C
respectively:
where is the number of low frequency lags, i.e.
. If the latter
value is not whole number, the error is produced.
The starting values should be supplied then as follows:
Value
a vector of weights
Author(s)
Virmantas Kvedaras, Vaidotas Zemlys
[Package midasr version 0.8 Index]