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2013 Oct 12
0
[R-pkgs] new package 'midasr'
...flexible function for specifying MIDAS models.
* hAh.test and hAhr.test -- adequacy testing of MIDAS regression.
* forecast -- forecasting MIDAS regression.
* midasr_ic_table -- lag selection using information criteria.
* average_forecast -- calculate weighted forecast combination.
* select_and_forecast -- perform model selection and then use the selected model for forecasting.
The package provides the usual methods for generic functions which can be used on fitted MIDAS regression object: summary, coef, residuals, deviance, fitted, predict, logLik. It also has additional methods for estimating r...