MIDAS regression with Beta-polynomial weights
Usage
morie_midas_regression(x, y, K = NULL)
Arguments
- x
High-frequency regressor matrix (n_t x K) or flat vector.
- y
Low-frequency target (length n_t).
- K
Number of high-frequency lags (required when x is flat).
Value
Named list with beta0, beta1, theta1, theta2, weights,
r2, n, K, method.
Examples
# See the package vignettes for usage examples:
# vignette(package = "rmorie")