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mpiktas / midasr

R package for mixed frequency time series data analysis.
http://mpiktas.github.io/midasr/
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Regarding k in the mls() #89

Closed mandarpriya closed 2 years ago

mandarpriya commented 2 years ago

Sir, I am new to the mixed frequency regression, I had read about MIDAS by Ghysels, and thought of trying it out. So i have my Y = returns and X = gdp, which is a quarterly data and Y is a monthly data. I could not understand what is k in mls() function. I wanted to see the regression of GDP on the returns . I would be really grateful for your reply. Thanks Mandar Phatak

vzemlys commented 2 years ago

k is the lag. See the jss article for examples.