Mixed Data Sampling Regression

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Documentation for package ‘midasr’ version 0.8

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midasr-package Mixed Data Sampling Regression
+.lws_table Combine 'lws_table' objects
agk.test Andreou, Ghysels, Kourtellos LM test
almonp Almon polynomial MIDAS weights specification
almonp_gradient Gradient function for Almon polynomial MIDAS weights
amidas_table Weight and lag selection table for aggregates based MIDAS regression model
amweights Weights for aggregates based MIDAS regressions
average_forecast Average forecasts of MIDAS models
check_mixfreq Check data for MIDAS regression
coef.midas_nlpr Extract coefficients of MIDAS regression
coef.midas_r Extract coefficients of MIDAS regression
coef.midas_sp Extract coefficients of MIDAS regression
deriv_tests Check whether non-linear least squares restricted MIDAS regression problem has converged
deriv_tests.midas_r Check whether non-linear least squares restricted MIDAS regression problem has converged
deviance.midas_nlpr Non-linear parametric MIDAS regression model deviance
deviance.midas_r MIDAS regression model deviance
deviance.midas_sp Semi-parametric MIDAS regression model deviance
dmls MIDAS lag structure for unit root processes
expand_amidas Create table of weights, lags and starting values for Ghysels weight schema
expand_weights_lags Create table of weights, lags and starting values
extract.midas_r Extract coefficients and GOF measures from MIDAS regression object
fitted.midas_nlpr Fitted values for non-linear parametric MIDAS regression model
fitted.midas_sp Fitted values for semi-parametric MIDAS regression model
fmls Full MIDAS lag structure
forecast Forecast MIDAS regression
forecast.midas_r Forecast MIDAS regression
genexp Generalized exponential MIDAS coefficients
genexp_gradient Gradient of generalized exponential MIDAS coefficient generating function
get_estimation_sample Get the data which was used to etimate MIDAS regression
gompertzp Normalized Gompertz probability density function MIDAS weights specification
gompertzp_gradient Gradient function for normalized Gompertz probability density function MIDAS weights specification
hAhr_test Test restrictions on coefficients of MIDAS regression using robust version of the test
hAh_test Test restrictions on coefficients of MIDAS regression
harstep HAR(3)-RV model MIDAS weights specification
harstep_gradient Gradient function for HAR(3)-RV model MIDAS weights specification
hf_lags_table Create a high frequency lag selection table for MIDAS regression model
imidas_r Restricted MIDAS regression with I(1) regressors
lcauchyp Normalized log-Cauchy probability density function MIDAS weights specification
lcauchyp_gradient Gradient function for normalized log-Cauchy probability density function MIDAS weights specification
lf_lags_table Create a low frequency lag selection table for MIDAS regression model
lstr Compute LSTR term for high frequency variable
midasr Mixed Data Sampling Regression
midas_auto_sim Simulate simple autoregressive MIDAS model
midas_lstr_plain LSTR (Logistic Smooth TRansition) MIDAS regression
midas_lstr_sim Simulate LSTR MIDAS regression model
midas_mmm_plain MMM (Mean-Min-Max) MIDAS regression
midas_mmm_sim Simulate MMM MIDAS regression model
midas_nlpr Non-linear parametric MIDAS regression
midas_nlpr.fit Fit restricted MIDAS regression
midas_pl_plain MIDAS Partialy linear non-parametric regression
midas_pl_sim Simulate PL MIDAS regression model
midas_qr Restricted MIDAS quantile regression
midas_r Restricted MIDAS regression
midas_r.fit Fit restricted MIDAS regression
midas_r_ic_table Create a weight and lag selection table for MIDAS regression model
midas_r_np Estimate non-parametric MIDAS regression
midas_r_plain Restricted MIDAS regression
midas_sim Simulate simple MIDAS regression response variable
midas_si_plain MIDAS Single index regression
midas_si_sim Simulate SI MIDAS regression model
midas_sp Semi-parametric MIDAS regression
midas_u Estimate unrestricted MIDAS regression
mls MIDAS lag structure
mlsd MIDAS lag structure with dates
mmm Compute MMM term for high frequency variable
modsel Select the model based on given information criteria
nakagamip Normalized Nakagami probability density function MIDAS weights specification
nakagamip_gradient Gradient function for normalized Nakagami probability density function MIDAS weights specification
nbeta Normalized beta probability density function MIDAS weights specification
nbetaMT Normalized beta probability density function MIDAS weights specification (MATLAB toolbox compatible)
nbetaMT_gradient Gradient function for normalized beta probability density function MIDAS weights specification (MATLAB toolbox compatible)
nbeta_gradient Gradient function for normalized beta probability density function MIDAS weights specification
nealmon Normalized Exponential Almon lag MIDAS coefficients
nealmon_gradient Gradient function for normalized exponential Almon lag weights
oos_prec Out-of-sample prediction precision data on simulation example
plot_lstr Plot MIDAS coefficients
plot_midas_coef Plot MIDAS coefficients
plot_midas_coef.midas_nlpr Plot MIDAS coefficients
plot_midas_coef.midas_r Plot MIDAS coefficients
plot_sp Plot non-parametric part of the single index MIDAS regression
polystep Step function specification for MIDAS weights
polystep_gradient Gradient of step function specification for MIDAS weights
predict.midas_nlpr Predict method for non-linear parametric MIDAS regression fit
predict.midas_r Predict method for MIDAS regression fit
predict.midas_sp Predict method for semi-parametric MIDAS regression fit
prep_hAh Calculate data for hAh_test and hAhr_test
rvsp500 Realized volatility of S&P500 index
select_and_forecast Create table for different forecast horizons
simulate Simulate MIDAS regression response
simulate.midas_r Simulate MIDAS regression response
split_data Split mixed frequency data into in-sample and out-of-sample
update_weights Updates weights in MIDAS regression formula
UScpiqs US quartely seasonaly adjusted consumer price index
USeffrw US weekly effective federal funds rate.
USpayems United States total employment non-farms payroll, monthly, seasonally adjusted.
USqgdp United States gross domestic product, quarterly, seasonaly adjusted annual rate.
USrealgdp US annual gross domestic product in billions of chained 2005 dollars
USunempr US monthly unemployment rate
weights_table Create a weight function selection table for MIDAS regression model