nealmon {midasr} | R Documentation |
Normalized Exponential Almon lag MIDAS coefficients
Description
Calculate normalized exponential Almon lag coefficients given the parameters and required number of coefficients.
Usage
nealmon(p, d, m)
Arguments
p |
parameters for Almon lag |
d |
number of the coefficients |
m |
the frequency, currently ignored. |
Details
Given unrestricted MIDAS regression
y_t=\sum_{h=0}^d\theta_{h}x_{tm-h}+\mathbf{z_t}\beta+u_t
normalized exponential Almon lag restricts the coefficients theta_h
in the following way:
\theta_{h}=\delta\frac{\exp(\lambda_1(h+1)+\dots+\lambda_r(h+1)^r)}{\sum_{s=0}^d\exp(\lambda_1(s+1)+\dots+\lambda_r(h+1)^r)}
The parameter \delta
should be the first element in vector p
. The degree of the polynomial is then decided by the number of the remaining parameters.
Value
vector of coefficients
Author(s)
Virmantas Kvedaras, Vaidotas Zemlys
Examples
##Load data
data("USunempr")
data("USrealgdp")
y <- diff(log(USrealgdp))
x <- window(diff(USunempr),start=1949)
t <- 1:length(y)
midas_r(y~t+fmls(x,11,12,nealmon),start=list(x=c(0,0,0)))
[Package midasr version 0.8 Index]