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mpiktas / midasr

R package for mixed frequency time series data analysis.
http://mpiktas.github.io/midasr/
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Lasso augmented Midas models #65

Closed AzamYahya closed 1 year ago

AzamYahya commented 6 years ago

Does midasr package has a function for feature selection such as lasso augmented midas model as described in paper here?

vzemlys commented 6 years ago

Unfortunately no. But looking at the article the addition of such model would not be insurmountable task. Lots of relevant code is already there.

cumpaz commented 5 years ago

Hey, Very interesting package! Any progress on the lasso version of the model? Thanks

vzemlys commented 5 years ago

Unfortunately no.

Curley-l commented 5 years ago

Hey, I am also very interesting to this package, Do there has a complete program for lasso-midas now?

daimoriwaki commented 5 years ago

i found matlab version of lasso-midas. http://www.seltenhut.com/clement.marsilli/VariableSelection.html

andresxmv commented 3 years ago

i found matlab version of lasso-midas. http://www.seltenhut.com/clement.marsilli/VariableSelection.html

The link dont work now ;(