Questions tagged [midasr]
9 questions
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Error: package or namespace load failed for ‘midasml’ in loadNamespace(j <- i[[1L]], c(lib.loc, .libPaths()), versionCheck = vI[[j]]):
I am trying to download the midasml package. My R version is 4.2.0. When I install the package I get no errors. But when I try library(midasml) I get this error:
Error: package or namespace load failed for ‘midasml’ in loadNamespace(j <- i[[1L]],…
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1 answer
Enforce equal amount of days each quarter R 'xts'
Suppose I have the following data set:
Daily observations of the S&P500, and
Quarterly Total Public Debt.
The observation of the quarter is at time
xxxx-01-01
xxxx-04-01
xxxx-07-01
xxxx-10-01
The non trading days such as weekend and holidays are…
WHN
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Point forecast in MIDAS
I have the following problem and I cannot understand the error. I have daily data where I only stay with the first 28 days of the month. My variable Y is monthly.
I estimate the following MIDAS:
mod1 <- midas_r(y ~ mls(x, 2:6, 28, nealmon), start =…
andrexmv
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1
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1 answer
MIDAS regression (midasr package)
I am trying to estimate a MIDAS regression on a subsample of my data using the window function. However, when I use this, the midas_r() function throws me back the error:
Error in prepmidas_r(y, X, mt, Zenv, cl, args, start, Ofunction,…
dinochka314
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0
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0 answers
Unrestricted MIDAS model selection with midasr, follow up question
My question is essentially the same as in this thread, however the answer given wasn't especially exhaustive in that midas_r_ic_table must take the "table" argument, a table that can be generated via expand_weights_lags, another function that…
elemn
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Issue in midas_r command in MIDASR package
I am trying to run midas_r command to get the coefficients but I am getting the following error:
Error in midas_r(yy ~ mls(yy, 1, 1) + mls(xx, 3:11, 3, nbeta), start = list(xx = c(1.7, :
could not find function "midas_r"
Since the code is…
0
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1 answer
How to lower model sensitivity for the starting value of a weighting function for a MIDAS regression in R
I'm using the midas_r package and I'm wondering if there is a possibility to lower the MIDAS model sensitivity for the starting value of a weighting function to minimize my error metric.
I did a simulation with different starting values and I…
Ashes
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How to write constraint function of coefficients conditional on other variables in a mixed frequency model in R?
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…
-1
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1 answer
Mixed data sampling in R (midas_r)
I have the following code where I have a weekly time series (variable x) which I would like to use in order to forecast my monthly time series (variable y).
So basically I want to forecast the current month's data (variable y) with either 1,2,3 or…
Jeweller89
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