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I am trying to write a constrained function of coefficients in a mixed frequency model. The mixed frequency model looks like below:enter image description here

briefly speaking, the dependent variable Y is a low-frequency variable that is observed once each year, and the independent variable X is a high-frequency variable that is observed each day, so each Y is matched with 365 X observations. I want to write the constraint function of coefficient beta as: beta is a function of other high-frequency variables: Beta = theta1Z + theta2W. Do anybody know how to write above function in R? Thanks a lot!

Simon Cui
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  • What have you tried? Simply googling "mixed frequency model R" returns quite a few things. – petrucci4prez May 29 '21 at 18:24
  • Hi! I tried the MIDASR package, but it seems that it won't work. the constraint function is MIDASR package simply adds a sequence number in the constraint function, eg: from 1 to 365 that represents each high frequency day, and impose a mathematical weighting method (exponential, polynomial, etc). What I want to do is replace 1 to 365 sequential numbers by other variable observations from each one period, but it does not work... – Simon Cui May 29 '21 at 18:41

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