search for: midas_r

...estimating the time series MIDAS regression, where the response and explanatory variables are of different frequency, e.g. quarterly vs monthly. The fitted regression model can be tested for adequacy and then used for forecasting. More specifically, the following main functions are available: * midas_r -- MIDAS regression estimation using non-linear least squares. * mls -- time series embedding to lower frequency, flexible function for specifying MIDAS models. * hAh.test and hAhr.test -- adequacy testing of MIDAS regression. * forecast -- forecasting MIDAS regression. * midasr_ic_tabl...