Package 'midasml' reference manual

Title:	Estimation and Prediction Methods for High-Dimensional Mixed Frequency Time Series Data
Description:	The 'midasml' package implements estimation and prediction methods for high-dimensional mixed-frequency (MIDAS) time-series and panel data regression models. The regularized MIDAS models are estimated using orthogonal (e.g. Legendre) polynomials and sparse-group LASSO (sg-LASSO) estimator. For more information on the 'midasml' approach see Babii, Ghysels, and Striaukas (2021, JBES forthcoming) <doi:10.1080/07350015.2021.1899933>. The package is equipped with the fast implementation of the sg-LASSO estimator by means of proximal block coordinate descent. High-dimensional mixed frequency time-series data can also be easily manipulated with functions provided in the package.
Authors:	Jonas Striaukas [cre, aut], Andrii Babii [aut], Eric Ghysels [aut], Alex Kostrov [ctb] (Contributions to analytical gradients for non-linear low-dimensional MIDAS estimation code)
Maintainer:	Jonas Striaukas <[email protected]>
License:	GPL (>= 2)
Version:	0.1.10
Built:	2024-11-21 06:37:52 UTC
Source:	CRAN

midasml

Description

Estimation and Prediction Methods for High-Dimensional Mixed Frequency Time Series Data

Author(s)

Jonas Striaukas (maintainer) [email protected], Andrii Babii [email protected], Eric Ghysels [email protected]

ALFRED monthly and quarterly series vintages

Description

ALFRED monthly and quarterly series vintages

Usage

data(alfred_vintages)
data(alfred_vintages)

Format

A list objects

Source

ALFRED

Examples


data(alfred_vintages)
i <- 1
alfred_vintages[[i]] # ith variable

data(alfred_vintages)
i <- 1
alfred_vintages[[i]] # ith variable

Cross-validation fit for panel sg-LASSO

Description

Does k-fold cross-validation for panel data sg-LASSO regression model.

The function runs sglfit nfolds+1 times; the first to get the path solution in λ sequence, the rest to compute the fit with each of the folds omitted. The average error and standard deviation over the folds is computed, and the optimal regression coefficients are returned for lam.min and lam.1se. Solutions are computed for a fixed γ

Usage

cv.panel.sglfit(x, y, lambda = NULL, gamma = 1.0, gindex = 1:p, nfolds = 10, 
  foldid, method = c("pooled", "fe"), nf = NULL, parallel = FALSE, ...)
cv.panel.sglfit(x, y, lambda = NULL, gamma = 1.0, gindex = 1:p, nfolds = 10, 
  foldid, method = c("pooled", "fe"), nf = NULL, parallel = FALSE, ...)

Arguments

`x`	NT by p data matrix, where NT and p respectively denote the sample size of pooled data and the number of regressors.
`y`	NT by 1 response variable.
`lambda`	a user-supplied lambda sequence. By leaving this option unspecified (recommended), users can have the program compute its own λ sequence based on `nlambda` and γ `lambda.factor.` It is better to supply, if necessary, a decreasing sequence of lambda values than a single (small) value, as warm-starts are used in the optimization algorithm. The program will ensure that the user-supplied `lambda` sequence is sorted in decreasing order before fitting the model.
`gamma`	sg-LASSO mixing parameter. γ = 1 gives LASSO solution and γ = 0 gives group LASSO solution.
`gindex`	p by 1 vector indicating group membership of each covariate.
`nfolds`	number of folds of the cv loop. Default set to `10`.
`foldid`	the fold assignments used.
`method`	choose between 'pooled' and 'fe'; 'pooled' forces the intercept to be fitted in sglfit, 'fe' computes the fixed effects. User must input the number of fixed effects `nf` for `method = 'fe'`, and it is recommended to do so for `method = 'pooled'`. Program uses supplied `nf` to construct `foldsid`. Default is set to `method = 'pooled'`.
`nf`	number of fixed effects. Used only if `method = 'fe'`.
`parallel`	if `TRUE`, use parallel foreach to fit each fold. Must register parallel before hand, such as doMC or others. See the example below.
`...`	Other arguments that can be passed to sglfit.

Details

The cross-validation is run for sg-LASSO linear model. The sequence of linear regression models implied by λ vector is fit by block coordinate-descent. The objective function is (case method='pooled')

||y - ια - xβ||²_NT + 2λ Ω_γ(β),
where ι∈R^NT and α is common intercept to all N items or (case method='fe')

||y - Bα - xβ||²_NT + 2λ Ω_γ(β),
where B = I_N⊗ι and ||u||²_NT=<u,u>/NT is the empirical inner product. The penalty function Ω_γ(.) is applied on β coefficients and is

Ω_γ(β) = γ |β|₁ + (1-γ)|β|_2,1,
a convex combination of LASSO and group LASSO penalty functions.

Value

cv.panel.sglfit object.

Author(s)

Jonas Striaukas

Examples

set.seed(1)
x = matrix(rnorm(100 * 20), 100, 20)
beta = c(5,4,3,2,1,rep(0, times = 15))
y = x%*%beta + rnorm(100)
gindex = sort(rep(1:4,times=5))
cv.panel.sglfit(x = x, y = y, gindex = gindex, gamma = 0.5, method = "fe", nf = 10, 
  standardize = FALSE, intercept = FALSE)
## Not run:  
# Parallel
require(doMC)
registerDoMC(cores = 2)
x = matrix(rnorm(1000 * 20), 1000, 20)
beta = c(5,4,3,2,1,rep(0, times = 15))
y = x%*%beta + rnorm(1000)
gindex = sort(rep(1:4,times=5))
system.time(cv.panel.sglfit(x = x, y = y, gindex = gindex, gamma = 0.5, method = "fe", nf = 10, 
  standardize = FALSE, intercept = FALSE))
system.time(cv.panel.sglfit(x = x, y = y, gindex = gindex, gamma = 0.5, method = "fe", nf = 10, 
  standardize = FALSE, intercept = FALSE, parallel = TRUE))

## End(Not run)  
set.seed(1)
x = matrix(rnorm(100 * 20), 100, 20)
beta = c(5,4,3,2,1,rep(0, times = 15))
y = x%*%beta + rnorm(100)
gindex = sort(rep(1:4,times=5))
cv.panel.sglfit(x = x, y = y, gindex = gindex, gamma = 0.5, method = "fe", nf = 10, 
  standardize = FALSE, intercept = FALSE)
## Not run:  
# Parallel
require(doMC)
registerDoMC(cores = 2)
x = matrix(rnorm(1000 * 20), 1000, 20)
beta = c(5,4,3,2,1,rep(0, times = 15))
y = x%*%beta + rnorm(1000)
gindex = sort(rep(1:4,times=5))
system.time(cv.panel.sglfit(x = x, y = y, gindex = gindex, gamma = 0.5, method = "fe", nf = 10, 
  standardize = FALSE, intercept = FALSE))
system.time(cv.panel.sglfit(x = x, y = y, gindex = gindex, gamma = 0.5, method = "fe", nf = 10, 
  standardize = FALSE, intercept = FALSE, parallel = TRUE))

## End(Not run)

Cross-validation fit for sg-LASSO

Description

Does k-fold cross-validation for sg-LASSO regression model.

Usage

cv.sglfit(x, y, lambda = NULL, gamma = 1.0, gindex = 1:p, 
  nfolds = 10, foldid, parallel = FALSE, ...)
cv.sglfit(x, y, lambda = NULL, gamma = 1.0, gindex = 1:p, 
  nfolds = 10, foldid, parallel = FALSE, ...)

Arguments

`x`	T by p data matrix, where T and p respectively denote the sample size and the number of regressors.
`y`	T by 1 response variable.
`lambda`	a user-supplied lambda sequence. By leaving this option unspecified (recommended), users can have the program compute its own λ sequence based on `nlambda` and γ `lambda.factor.` It is better to supply, if necessary, a decreasing sequence of lambda values than a single (small) value, as warm-starts are used in the optimization algorithm. The program will ensure that the user-supplied `lambda` sequence is sorted in decreasing order before fitting the model.
`gamma`	sg-LASSO mixing parameter. γ = 1 gives LASSO solution and γ = 0 gives group LASSO solution.
`gindex`	p by 1 vector indicating group membership of each covariate.
`nfolds`	number of folds of the cv loop. Default set to `10`.
`foldid`	the fold assignments used.
`parallel`	if `TRUE`, use parallel foreach to fit each fold. Must register parallel before hand, such as doMC or others. See the example below.
`...`	Other arguments that can be passed to sglfit.

Details

The cross-validation is run for sg-LASSO linear model. The sequence of linear regression models implied by λ vector is fit by block coordinate-descent. The objective function is

||y - ια - xβ||²_T + 2λ Ω_γ(β),
where ι∈R^Tenter> and ||u||²_T=<u,u>/T is the empirical inner product. The penalty function Ω_γ(.) is applied on β coefficients and is

Ω_γ(β) = γ |β|₁ + (1-γ)|β|_2,1,
a convex combination of LASSO and group LASSO penalty functions.

Value

cv.sglfit object.

Author(s)

Jonas Striaukas

Examples

set.seed(1)
x = matrix(rnorm(100 * 20), 100, 20)
beta = c(5,4,3,2,1,rep(0, times = 15))
y = x%*%beta + rnorm(100)
gindex = sort(rep(1:4,times=5))
cv.sglfit(x = x, y = y, gindex = gindex, gamma = 0.5, 
  standardize = FALSE, intercept = FALSE)
## Not run:  
# Parallel
require(doMC)
registerDoMC(cores = 2)
x = matrix(rnorm(1000 * 20), 1000, 20)
beta = c(5,4,3,2,1,rep(0, times = 15))
y = x%*%beta + rnorm(1000)
gindex = sort(rep(1:4,times=5))
system.time(cv.sglfit(x = x, y = y, gindex = gindex, gamma = 0.5, 
  standardize = FALSE, intercept = FALSE))
system.time(cv.sglfit(x = x, y = y, gindex = gindex, gamma = 0.5, 
  standardize = FALSE, intercept = FALSE, parallel = TRUE))

## End(Not run)
set.seed(1)
x = matrix(rnorm(100 * 20), 100, 20)
beta = c(5,4,3,2,1,rep(0, times = 15))
y = x%*%beta + rnorm(100)
gindex = sort(rep(1:4,times=5))
cv.sglfit(x = x, y = y, gindex = gindex, gamma = 0.5, 
  standardize = FALSE, intercept = FALSE)
## Not run:  
# Parallel
require(doMC)
registerDoMC(cores = 2)
x = matrix(rnorm(1000 * 20), 1000, 20)
beta = c(5,4,3,2,1,rep(0, times = 15))
y = x%*%beta + rnorm(1000)
gindex = sort(rep(1:4,times=5))
system.time(cv.sglfit(x = x, y = y, gindex = gindex, gamma = 0.5, 
  standardize = FALSE, intercept = FALSE))
system.time(cv.sglfit(x = x, y = y, gindex = gindex, gamma = 0.5, 
  standardize = FALSE, intercept = FALSE, parallel = TRUE))

## End(Not run)

Match dates

Description

Change the date to the beginning of the month date.

Usage

dateMatch(x, y)
dateMatch(x, y)

Arguments

`x`	date vector to match with y date vector.
`y`	date vector.

Value

changed date vector.

Author(s)

Jonas Striaukas

Examples

x <- seq(as.Date("2020-01-01"),as.Date("2020-12-01"), by = "day")
set.seed(100)
x <- x[-sample(1:336, 100)]
y <- seq(as.Date("2020-01-01"),as.Date("2020-12-01"), by = "month")
dateMatch(x,y)
x <- seq(as.Date("2020-01-01"),as.Date("2020-12-01"), by = "day")
set.seed(100)
x <- x[-sample(1:336, 100)]
y <- seq(as.Date("2020-01-01"),as.Date("2020-12-01"), by = "month")
dateMatch(x,y)

Gegenbauer polynomials shifted to [a,b]

Description

For a given set of points in X, computes the orthonormal Gegenbauer polynomials basis of L2 [a,b] for a given degree and $\alpha$ parameter. The Gegenbauer polynomials are a special case of more general Jacobi polynomials. In turn, you may get Legendre polynomials from Gegenbauer by setting $\alpha$ = 0, or Chebychev's polynomials by setting $\alpha$ = 1/2 or -1/2.

Usage

gb(degree, alpha, a = 0, b = 1, jmax = NULL, X = NULL)
gb(degree, alpha, a = 0, b = 1, jmax = NULL, X = NULL)

Arguments

`degree`	polynomial degree.
`alpha`	Gegenbauer polynomials parameter.
`a`	lower shift value (default - 0).
`b`	upper shift value (default - 1).
`jmax`	number of high-frequency lags.
`X`	optional evaluation grid vector.

Value

Psi weight matrix with Gegenbauer functions upto degree.

Author(s)

Jonas Striaukas

Examples

degree <- 3
alpha <- 1
jmax <- 66
gb(degree = degree, alpha = alpha, a = 0, b = 1, jmax = jmax)
degree <- 3
alpha <- 1
jmax <- 66
gb(degree = degree, alpha = alpha, a = 0, b = 1, jmax = jmax)

Information criteria fit for panel sg-LASSO

Description

Does information criteria for panel data sg-LASSO regression model.

The function runs sglfit 1 time; computes the path solution in lambda sequence. Solutions for BIC, AIC and AICc information criteria are returned.

Usage

ic.panel.sglfit(x, y, lambda = NULL, gamma = 1.0, gindex = 1:p, 
                method = c("pooled","fe"), nf = NULL, ...)
ic.panel.sglfit(x, y, lambda = NULL, gamma = 1.0, gindex = 1:p, 
                method = c("pooled","fe"), nf = NULL, ...)

Arguments

`x`	NT by p data matrix, where NT and p respectively denote the sample size of pooled data and the number of regressors.
`y`	NT by 1 response variable.
`lambda`	a user-supplied lambda sequence. By leaving this option unspecified (recommended), users can have the program compute its own $\lambda$ sequence based on `nlambda` and `lambda.factor.` It is better to supply, if necessary, a decreasing sequence of lambda values than a single (small) value, as warm-starts are used in the optimization algorithm. The program will ensure that the user-supplied $\lambda$ sequence is sorted in decreasing order before fitting the model.
`gamma`	sg-LASSO mixing parameter. $\gamma$ = 1 gives LASSO solution and $\gamma$ = 0 gives group LASSO solution.
`gindex`	p by 1 vector indicating group membership of each covariate.
`method`	choose between 'pooled' and 'fe'; 'pooled' forces the intercept to be fitted in sglfit, 'fe' computes the fixed effects. User must input the number of fixed effects `nf` for `method = 'fe'`. Default is set to `method = 'pooled'`.
`nf`	number of fixed effects. Used only if `method = 'fe'`.
`...`	Other arguments that can be passed to sglfit.

Details

The sequence of linear regression models implied by λ vector is fit by block coordinate-descent. The objective function is (case method='pooled')

||y - ια - xβ||²_NT + 2λ Ω_γ(β),
where ι∈R^NT and α is common intercept to all N items or (case method='fe')

||y - Bα - xβ||²_NT + 2λ Ω_γ(β),
where B = I_N⊗ι and ||u||²_NT=<u,u>/NT is the empirical inner product. The penalty function Ω_γ(.) is applied on β coefficients and is

Ω_γ(β) = γ |β|₁ + (1-γ)|β|_2,1,
a convex combination of LASSO and group LASSO penalty functions.

Value

ic.panel.sglfit object.

Author(s)

Jonas Striaukas

Examples

set.seed(1)
x = matrix(rnorm(100 * 20), 100, 20)
beta = c(5,4,3,2,1,rep(0, times = 15))
y = x%*%beta + rnorm(100)
gindex = sort(rep(1:4,times=5))
ic.panel.sglfit(x = x, y = y, gindex = gindex, gamma = 0.5, 
  standardize = FALSE, intercept = FALSE)
set.seed(1)
x = matrix(rnorm(100 * 20), 100, 20)
beta = c(5,4,3,2,1,rep(0, times = 15))
y = x%*%beta + rnorm(100)
gindex = sort(rep(1:4,times=5))
ic.panel.sglfit(x = x, y = y, gindex = gindex, gamma = 0.5, 
  standardize = FALSE, intercept = FALSE)

Information criteria fit for sg-LASSO

Description

Does information criteria for sg-LASSO regression model.

The function runs sglfit 1 time; computes the path solution in lambda sequence. Solutions for BIC, AIC and AICc information criteria are returned.

Usage

ic.sglfit(x, y, lambda = NULL, gamma = 1.0, gindex = 1:p,  ...)
ic.sglfit(x, y, lambda = NULL, gamma = 1.0, gindex = 1:p,  ...)

Arguments

`x`	T by p data matrix, where T and p respectively denote the sample size and the number of regressors.
`y`	T by 1 response variable.
`lambda`	a user-supplied lambda sequence. By leaving this option unspecified (recommended), users can have the program compute its own $\lambda$ sequence based on `nlambda` and `lambda.factor.` It is better to supply, if necessary, a decreasing sequence of lambda values than a single (small) value, as warm-starts are used in the optimization algorithm. The program will ensure that the user-supplied $\lambda$ sequence is sorted in decreasing order before fitting the model.
`gamma`	sg-LASSO mixing parameter. $\gamma$ = 1 gives LASSO solution and $\gamma$ = 0 gives group LASSO solution.
`gindex`	p by 1 vector indicating group membership of each covariate.
`...`	Other arguments that can be passed to sglfit.

Details

The sequence of linear regression models implied by λ vector is fit by block coordinate-descent. The objective function is

||y - ια - xβ||²_T + 2λ Ω_γ(β),
where ι∈R^Tenter> and ||u||²_T=<u,u>/T is the empirical inner product. The penalty function Ω_γ(.) is applied on β coefficients and is

Ω_γ(β) = γ |β|₁ + (1-γ)|β|_2,1,
a convex combination of LASSO and group LASSO penalty functions.

Value

ic.sglfit object.

Author(s)

Jonas Striaukas

Examples

set.seed(1)
x = matrix(rnorm(100 * 20), 100, 20)
beta = c(5,4,3,2,1,rep(0, times = 15))
y = x%*%beta + rnorm(100)
gindex = sort(rep(1:4,times=5))
ic.sglfit(x = x, y = y, gindex = gindex, gamma = 0.5, 
  standardize = FALSE, intercept = FALSE)
set.seed(1)
x = matrix(rnorm(100 * 20), 100, 20)
beta = c(5,4,3,2,1,rep(0, times = 15))
y = x%*%beta + rnorm(100)
gindex = sort(rep(1:4,times=5))
ic.sglfit(x = x, y = y, gindex = gindex, gamma = 0.5, 
  standardize = FALSE, intercept = FALSE)

Legendre polynomials shifted to [a,b]

Description

For a given set of points in X, computes the orthonormal Legendre polynomials basis of L2 [a,b] for a given degree.

Usage

lb(degree, a = 0, b = 1, jmax = NULL, X = NULL)
lb(degree, a = 0, b = 1, jmax = NULL, X = NULL)

Arguments

`degree`	polynomial degree.
`a`	lower shift value (default - 0).
`b`	upper shift value (default - 1).
`jmax`	number of high-frequency lags.
`X`	optional evaluation grid vector.

Value

Psi weight matrix with Legendre functions upto degree.

Author(s)

Jonas Striaukas

Examples

degree <- 3
jmax <- 66
lb(degree = degree, a = 0, b = 1, jmax = jmax)
degree <- 3
jmax <- 66
lb(degree = degree, a = 0, b = 1, jmax = jmax)

SNP500 returns

Description

SNP500 returns

Usage

data(market_ret)
data(market_ret)

Format

A data.frame object.a

Source

market_ret - FRED

Examples


data(market_ret)
market_ret$snp500ret

data(market_ret)
market_ret$snp500ret

MIDAS regression

Description

Fits MIDAS regression model with single high-frequency covariate. Options include linear-in-parameters polynomials (e.g. Legendre) or non-linear polynomials (e.g. exponential Almon). Nonlinear polynomial optimization routines are equipped with analytical gradients, which allows fast and accurate optimization.

Usage

midas.ardl(y, x, z = NULL, loss_choice = c("mse","logit"), 
           poly_choice = c("legendre","expalmon","beta"), 
           poly_spec = 0, legendre_degree = 3, nbtrials = 500)
midas.ardl(y, x, z = NULL, loss_choice = c("mse","logit"), 
           poly_choice = c("legendre","expalmon","beta"), 
           poly_spec = 0, legendre_degree = 3, nbtrials = 500)

Arguments

`y`	response variable. Continuous for `loss_choice = "mse"`, binary for `loss_choice = "logit"`.
`x`	high-frequency covariate lags.
`z`	other lower-frequency covariate(s) or AR lags (both can be supplied in an appended matrix). Either must be supplied.
`loss_choice`	which loss function to fit: `loss_choice="mse"` fits least squares MIDAS regression, `loss_choice="logit"` fits logit MIDAS regression.
`poly_choice`	which MIDAS lag polynomial function to use: `poly_choice="expalmon"` - exponential Almon polynomials, `poly_choice="beta"` - Beta density function (need to set `poly_spec`), `poly_choice="legendre"` - legendre polynomials (need to set `legendre_degree`). Default is set to `poly_choice="expalmon"`.
`poly_spec`	which Beta density function specification to apply (applicable only for `poly_choice="beta"`). `poly_spec = 0` - all three parameters are fitted, `poly_spec = 1` ( $\theta_2,\theta_3$ ) are fitted, `poly_spec = 2` ( $\theta_1,\theta_2$ ) are fitted, `poly_spec = 3` ( $\theta_2$ ) is fitted. Default is set to `poly_spec = 0`.
`legendre_degree`	the degree of legendre polynomials (applicable only for `legendre="beta"`). Default is set to 3.
`nbtrials`	number of initial values tried in multistart optimization. Default is set to `poly_spec = 500`.

Details

Several polynomial functional forms are available (poly_choice):

- beta: Beta polynomial
- expalmon: exponential Almon polynomial
- legendre: Legendre polynomials.

The ARDL-MIDAS model is:
y_t = μ + Σ_p ρ_p y_t-p + β Σ_j ω_j(θ)x_t-1
where μ, β, θ and ρ_p are model parameters, p is the number of low-frequency lags and ω is the weight function.

Value

midas.ardl object.

Author(s)

Jonas Striaukas

Examples

set.seed(1)
x = matrix(rnorm(100 * 20), 100, 20)
z = rnorm(100)
y = rnorm(100)
midas.ardl(y = y, x = x, z = z)
set.seed(1)
x = matrix(rnorm(100 * 20), 100, 20)
z = rnorm(100)
y = rnorm(100)
midas.ardl(y = y, x = x, z = z)

MIDAS data structure

Description

Creates a MIDAS data structure for a single high-frequency covariate and a single low-frequency dependent variable.

Usage

mixed_freq_data(data.y, data.ydate, data.x, data.xdate, x.lag, y.lag, 
  horizon, est.start, est.end, disp.flag = TRUE)
mixed_freq_data(data.y, data.ydate, data.x, data.xdate, x.lag, y.lag, 
  horizon, est.start, est.end, disp.flag = TRUE)

Arguments

`data.y`	n by 1 low-frequency time series data vector.
`data.ydate`	n by 1 low-frequency time series date vector.
`data.x`	m by 1 high-frequency time series data vector.
`data.xdate`	m by 1 high-frequency time series date vector.
`x.lag`	number of high-frequency lags to construct in high-frequency time units.
`y.lag`	number of low-frequency lags to construct in low-frequency time units.
`horizon`	forecast horizon relative to `data.ydate` date in high-frequency time units.
`est.start`	estimation start date, taken as the first ... .
`est.end`	estimation end date, taken as the last ... . Remaining data after this date is dropped to out-of-sample evaluation data.
`disp.flag`	display flag to indicate whether or not to display obtained MIDAS data structure in console.

Value

a list of MIDAS data structure.

Author(s)

Jonas Striaukas

Examples

data(us_rgdp)
rgdp <- us_rgdp$rgdp
payems <- us_rgdp$payems
payems[-1, 2] <- log(payems[-1, 2]/payems[-dim(payems)[1], 2])*100
payems <- payems[-1, ]
rgdp[-1, 2] <- ((rgdp[-1, 2]/rgdp[-dim(rgdp)[1], 2])^4-1)*100
rgdp <- rgdp[-1, ]
est.start <- as.Date("1990-01-01")
est.end <- as.Date("2002-03-01")
mixed_freq_data(rgdp[,2], as.Date(rgdp[,1]), payems[,2], 
  as.Date(payems[,1]), x.lag = 9, y.lag = 4, horizon = 1, 
  est.start, est.end, disp.flag = FALSE)
data(us_rgdp)
rgdp <- us_rgdp$rgdp
payems <- us_rgdp$payems
payems[-1, 2] <- log(payems[-1, 2]/payems[-dim(payems)[1], 2])*100
payems <- payems[-1, ]
rgdp[-1, 2] <- ((rgdp[-1, 2]/rgdp[-dim(rgdp)[1], 2])^4-1)*100
rgdp <- rgdp[-1, ]
est.start <- as.Date("1990-01-01")
est.end <- as.Date("2002-03-01")
mixed_freq_data(rgdp[,2], as.Date(rgdp[,1]), payems[,2], 
  as.Date(payems[,1]), x.lag = 9, y.lag = 4, horizon = 1, 
  est.start, est.end, disp.flag = FALSE)

MIDAS data structure

Description

Creates a MIDAS data structure for a single high-frequency covariate based on low-frequency reference date.

Usage

mixed_freq_data_single(data.refdate, data.x, data.xdate, x.lag, horizon,
  est.start, est.end, disp.flag = TRUE)
mixed_freq_data_single(data.refdate, data.x, data.xdate, x.lag, horizon,
  est.start, est.end, disp.flag = TRUE)

Arguments

`data.refdate`	n by 1 date vector.
`data.x`	m by 1 high-frequency time series data vector.
`data.xdate`	m by 1 high-frequency time series date vector.
`x.lag`	number of high-frequency lags to construct in high-frequency time units.
`horizon`	forecast horizon relative to `data.refdate` date in high-frequency time units.
`est.start`	estimation start date, taken as the first ... .
`est.end`	estimation end date, taken as the last ... . Remaining data after this date is dropped to out-of-sample evaluation data.
`disp.flag`	display flag to indicate whether or not to display obtained MIDAS data strcuture in console.

Value

a list of midas data structure.

Author(s)

Jonas Striaukas

Examples

data(us_rgdp)
rgdp <- us_rgdp$rgdp
cfnai <- us_rgdp$cfnai
data.refdate <- rgdp$date
data.x <- cfnai$cfnai
data.xdate <- cfnai$date
est.start <- as.Date("1990-01-01")
est.end <- as.Date("2002-03-01")
mixed_freq_data_single(data.refdate, data.x, data.xdate, x.lag = 12, horizon = 1,
 est.start, est.end, disp.flag = FALSE)
data(us_rgdp)
rgdp <- us_rgdp$rgdp
cfnai <- us_rgdp$cfnai
data.refdate <- rgdp$date
data.x <- cfnai$cfnai
data.xdate <- cfnai$date
est.start <- as.Date("1990-01-01")
est.end <- as.Date("2002-03-01")
mixed_freq_data_single(data.refdate, data.x, data.xdate, x.lag = 12, horizon = 1,
 est.start, est.end, disp.flag = FALSE)

Beginning of the month date

Description

Change the date to the beginning of the month date.

Usage

monthBegin(x)
monthBegin(x)

Arguments

`x`	date value.

Value

changed date value.

Author(s)

Jonas Striaukas

Examples

monthBegin(as.Date("2020-05-15"))
monthBegin(as.Date("2020-05-15"))

End of the month date

Description

Change the date to the end of the month date.

Usage

monthEnd(x)
monthEnd(x)

Arguments

`x`	date value.

Value

changed date value.

Author(s)

Jonas Striaukas

Examples

monthEnd(as.Date("2020-05-15"))
monthEnd(as.Date("2020-05-15"))

Computes prediction

Description

Similar to other predict methods, this functions predicts fitted values from a fitted sglfit object.

Usage

## S3 method for class 'cv.panel.sglfit'
predict(
  object,
  newx,
  s = c("lam.min", "lam.1se"),
  type = c("response"),
  method = c("pooled", "fe"),
  ...
)
## S3 method for class 'cv.panel.sglfit'
predict(
  object,
  newx,
  s = c("lam.min", "lam.1se"),
  type = c("response"),
  method = c("pooled", "fe"),
  ...
)

Arguments

`object`	fitted `cv.panel.sglfit` model object.
`newx`	matrix of new values for x at which predictions are to be made. NOTE: `newx` must be a matrix, predict function does not accept a vector or other formats of newx.
`s`	choose between 'lam.min' and 'lam.1se'.
`type`	type of prediction required. Only response is available. Gives predicted response for regression problems.
`method`	choose between 'pooled', and 'fe'.
`...`	Not used. Other arguments to predict.

Details

s is the new vector at which predictions are to be made. If s is not in the lambda sequence used for fitting the model, the predict function will use linear interpolation to make predictions. The new values are interpolated using a fraction of predicted values from both left and right $lambda$ indices.

Value

The object returned depends on type.

Computes prediction

Description

Similar to other predict methods, this functions predicts fitted values from a fitted sglfit object.

Usage

## S3 method for class 'cv.sglfit'
predict(object, newx, s = c("lam.min", "lam.1se"), type = c("response"), ...)
## S3 method for class 'cv.sglfit'
predict(object, newx, s = c("lam.min", "lam.1se"), type = c("response"), ...)

Arguments

`object`	fitted `cv.sglfit` model object.
`newx`	matrix of new values for x at which predictions are to be made. NOTE: `newx` must be a matrix, predict function does not accept a vector or other formats of newx.
`s`	choose between 'lam.min' and 'lam.1se'.
`type`	type of prediction required. Only response is available. Gives predicted response for regression problems.
`...`	Not used. Other arguments to predict.
`method`	choose between 'single', 'pooled', and 'fe'.

Details

Value

The object returned depends on type.

Computes prediction

Description

Similar to other predict methods, this functions predicts fitted values from a fitted sglfit object.

Usage

## S3 method for class 'ic.panel.sglfit'
predict(
  object,
  newx,
  s = c("bic", "aic", "aicc"),
  type = c("response"),
  method = c("pooled", "fe"),
  ...
)
## S3 method for class 'ic.panel.sglfit'
predict(
  object,
  newx,
  s = c("bic", "aic", "aicc"),
  type = c("response"),
  method = c("pooled", "fe"),
  ...
)

Arguments

`object`	fitted `ic.panel.sglfit` model object.
`newx`	matrix of new values for x at which predictions are to be made. NOTE: `newx` must be a matrix, predict function does not accept a vector or other formats of newx.
`s`	choose between 'bic', 'aic', and 'aicc'.
`type`	type of prediction required. Only response is available. Gives predicted response for regression problems.
`method`	choose between 'pooled', and 'fe'.
`...`	Not used. Other arguments to predict.

Details

Value

The object returned depends on type.

Computes prediction

Description

Similar to other predict methods, this functions predicts fitted values from a fitted sglfit object.

Usage

## S3 method for class 'ic.sglfit'
predict(object, newx, s = c("bic", "aic", "aicc"), type = c("response"), ...)
## S3 method for class 'ic.sglfit'
predict(object, newx, s = c("bic", "aic", "aicc"), type = c("response"), ...)

Arguments

`object`	fitted `cv.sglfit` model object.
`newx`	matrix of new values for x at which predictions are to be made. NOTE: `newx` must be a matrix, predict function does not accept a vector or other formats of newx.
`s`	choose between 'bic', 'aic', and 'aicc'.
`type`	type of prediction required. Only response is available. Gives predicted response for regression problems.
`...`	Not used. Other arguments to predict.

Details

Value

The object returned depends on type.

Computes prediction

Description

Similar to other predict methods, this functions predicts fitted values from a fitted sglfit object.

Usage

## S3 method for class 'sglpath'
predict(
  object,
  newx,
  s = NULL,
  type = c("response"),
  method = c("single", "pooled", "fe"),
  ...
)
## S3 method for class 'sglpath'
predict(
  object,
  newx,
  s = NULL,
  type = c("response"),
  method = c("single", "pooled", "fe"),
  ...
)

Arguments

`object`	fitted `sglfit` model object.
`newx`	matrix of new values for x at which predictions are to be made. NOTE: `newx` must be a matrix, predict function does not accept a vector or other formats of newx.
`s`	value(s) of the penalty parameter $lambda$ at which predictions are to be made. Default is the entire sequence used to create the model.
`type`	type of prediction required. Only response is available. Gives predicted response for regression problems.
`method`	choose between 'single', 'pooled', and 'fe'.
`...`	Not used. Other arguments to predict.

Details

Value

The object returned depends on type.

Regression fit for panel sg-LASSO

Description

Fits panel data sg-LASSO regression model.

The function fits sg-LASSO regression based on chosen tuning parameter selection method_choice. Options include cross-validation and information criteria.

Usage

reg.panel.sgl(x, y, gamma = NULL, gindex, intercept = TRUE, 
              method_choice = c("ic","cv"), nfolds = 10, 
              method = c("pooled", "fe"), nf = NULL, 
              verbose = FALSE, ...)
reg.panel.sgl(x, y, gamma = NULL, gindex, intercept = TRUE, 
              method_choice = c("ic","cv"), nfolds = 10, 
              method = c("pooled", "fe"), nf = NULL, 
              verbose = FALSE, ...)

Arguments

`x`	NT by p data matrix, where NT and p respectively denote the sample size of pooled data and the number of regressors.
`y`	NT by 1 response variable.
`gamma`	sg-LASSO mixing parameter. $\gamma$ = 1 gives LASSO solution and $\gamma$ = 0 gives group LASSO solution.
`gindex`	p by 1 vector indicating group membership of each covariate.
`intercept`	whether intercept be fitted (`TRUE`) or set to zero (`FALSE`). Default is `TRUE`.
`method_choice`	choose between `ic` and `cv`. `ic` gives fit based on information criteria (BIC, AIC or AICc) by running `ic.fit`, while `cv` gives fit based on cross-validation by running `cv.sglfit`. If `cv` is chosen, optional number of folds `nfolds` can be supplied.
`nfolds`	number of folds of the cv loop. Default set to `10`.
`method`	choose between 'pooled' and 'fe'; 'pooled' forces the intercept to be fitted in sglfit, 'fe' computes the fixed effects. User must input the number of fixed effects `nf` for `method = 'fe'`, and it is recommended to do so for `method = 'pooled'`. Program uses supplied `nf` to construct `foldsid` if `method_choice = 'cv'` is chosen. Default is set to `method = 'pooled'`.
`nf`	number of fixed effects. Used only if `method = 'fe'`.
`verbose`	flag to print information.
`...`	Other arguments that can be passed to `sglfit`.

Details

The sequence of linear regression models implied by λ vector is fit by block coordinate-descent. The objective function is either (case method='pooled')

||y - ια - xβ||²_NT + 2λ Ω_γ(β),
where ι∈R^NT and α is common intercept to all N items or (case method='fe')

||y - Bα - xβ||²_NT + 2λ Ω_γ(β),
where B = I_N⊗ι and ||u||²_NT=<u,u>/NT is the empirical inner product. The penalty function Ω_γ(.) is applied on β coefficients and is

Ω_γ(β) = γ |β|₁ + (1-γ)|β|_2,1,
a convex combination of LASSO and group LASSO penalty functions.

Value

reg.panel.sgl object.

Author(s)

Jonas Striaukas

Examples

set.seed(1)
x = matrix(rnorm(100 * 20), 100, 20)
beta = c(5,4,3,2,1,rep(0, times = 15))
y = x%*%beta + rnorm(100)
gindex = sort(rep(1:4,times=5))
reg.panel.sgl(x = x, y = y, 
  gindex = gindex, gamma = 0.5, 
  method = "fe", nf = 10, 
  standardize = FALSE, intercept = FALSE)
set.seed(1)
x = matrix(rnorm(100 * 20), 100, 20)
beta = c(5,4,3,2,1,rep(0, times = 15))
y = x%*%beta + rnorm(100)
gindex = sort(rep(1:4,times=5))
reg.panel.sgl(x = x, y = y, 
  gindex = gindex, gamma = 0.5, 
  method = "fe", nf = 10, 
  standardize = FALSE, intercept = FALSE)

Fit for sg-LASSO regression

Description

Fits sg-LASSO regression model.

The function fits sg-LASSO regression based on chosen tuning parameter selection method_choice. Options include cross-validation and information criteria.

Usage

reg.sgl(x, y, gamma = NULL, gindex, intercept = TRUE, 
        method_choice = c("tscv","ic","cv"), verbose = FALSE, ...)
reg.sgl(x, y, gamma = NULL, gindex, intercept = TRUE, 
        method_choice = c("tscv","ic","cv"), verbose = FALSE, ...)

Arguments

`x`	T by p data matrix, where T and p respectively denote the sample size and the number of regressors.
`y`	T by 1 response variable.
`gamma`	sg-LASSO mixing parameter. $\gamma$ = 1 gives LASSO solution and $\gamma$ = 0 gives group LASSO solution.
`gindex`	p by 1 vector indicating group membership of each covariate.
`intercept`	whether intercept be fitted (`TRUE`) or set to zero (`FALSE`). Default is `TRUE`.
`method_choice`	choose between `tscv` `ic` and `cv`. `tscv` fits sg-LASSO based on time series cross-validation (see tscv.sglfit), `ic` fits sg-LASSO based on information criteria (BIC, AIC or AICc, see ic.sglfit), `cv` fits sg-LASSO based on cross-validation (see cv.sglfit). Additional arguments for each method choice are passed on to the relevant functions.
`verbose`	flag to print information.
`...`	Other arguments that can be passed to `sglfit`.

Details

Value

reg.sgl object.

Author(s)

Jonas Striaukas

Examples

set.seed(1)
x = matrix(rnorm(100 * 20), 100, 20)
beta = c(5,4,3,2,1,rep(0, times = 15))
y = x%*%beta + rnorm(100)
gindex = sort(rep(1:4,times=5))
reg.sgl(x = x, y = y, gamma = 0.5, gindex = gindex)
set.seed(1)
x = matrix(rnorm(100 * 20), 100, 20)
beta = c(5,4,3,2,1,rep(0, times = 15))
y = x%*%beta + rnorm(100)
gindex = sort(rep(1:4,times=5))
reg.sgl(x = x, y = y, gamma = 0.5, gindex = gindex)

Real GDP release dates

Description

Real GDP release dates

Usage

data(rgdp_dates)
data(rgdp_dates)

Format

A list objects

Source

ALFRED

Examples


data(rgdp_dates)
rgdp_dates$Quarter_q # reference quarters in quarters
rgdp_dates$Quarter_m # reference quarters in months
rgdp_dates$Quarter_d # reference quarters in days
rgdp_dates$`First release` # first release date for the reference
rgdp_dates$`Second release` # second release date for the reference
rgdp_dates$`Third release` # third release date for the reference

data(rgdp_dates)
rgdp_dates$Quarter_q # reference quarters in quarters
rgdp_dates$Quarter_m # reference quarters in months
rgdp_dates$Quarter_d # reference quarters in days
rgdp_dates$`First release` # first release date for the reference
rgdp_dates$`Second release` # second release date for the reference
rgdp_dates$`Third release` # third release date for the reference

Real GDP vintages

Description

Real GDP vintages

Usage

data(rgdp_vintages)
data(rgdp_vintages)

Format

A list objects

Source

ALFRED

Examples


data(rgdp_vintages)
rgdp_vintages$date # dates
rgdp_vintages$time_series # series, q-q annual rate
rgdp_vintages$realtime_period # real time dates 

data(rgdp_vintages)
rgdp_vintages$date # dates
rgdp_vintages$time_series # series, q-q annual rate
rgdp_vintages$realtime_period # real time dates

Fits sg-LASSO regression

Description

Fits sg-LASSO regression model. The function fits sg-LASSO regression model for a sequence of $\lambda$ tuning parameter and fixed $\gamma$ tuning parameter. The optimization is based on block coordinate-descent. Optionally, fixed effects are fitted.

Usage

sglfit(x, y, gamma = 1.0, nlambda = 100L, method = c("single", "pooled", "fe"), 
       nf = NULL, lambda.factor = ifelse(nobs < nvars, 1e-02, 1e-04), 
       lambda = NULL, pf = rep(1, nvars), gindex = 1:nvars, 
       dfmax = nvars + 1, pmax = min(dfmax * 1.2, nvars), standardize = FALSE, 
       intercept = FALSE, eps = 1e-08, maxit = 1000000L, peps = 1e-08)
sglfit(x, y, gamma = 1.0, nlambda = 100L, method = c("single", "pooled", "fe"), 
       nf = NULL, lambda.factor = ifelse(nobs < nvars, 1e-02, 1e-04), 
       lambda = NULL, pf = rep(1, nvars), gindex = 1:nvars, 
       dfmax = nvars + 1, pmax = min(dfmax * 1.2, nvars), standardize = FALSE, 
       intercept = FALSE, eps = 1e-08, maxit = 1000000L, peps = 1e-08)

Arguments

`x`	T by p data matrix, where T and p respectively denote the sample size and the number of regressors.
`y`	T by 1 response variable.
`gamma`	sg-LASSO mixing parameter. $\gamma$ = 1 gives LASSO solution and $\gamma$ = 0 gives group LASSO solution.
`nlambda`	number of $\lambda$ 's to use in the regularization path; used if `lambda = NULL`.
`method`	choose between 'single', 'pooled' and 'fe'; 'single' implies standard sg-LASSO regression, 'pooled' forces the intercept to be fitted, 'fe' computes the fixed effects. User needs to input the number of fixed effects `nf`. Default is set to 'single'.
`nf`	number of fixed effects. Used only if `method = 'fe'`.
`lambda.factor`	The factor for getting the minimal $\lambda$ in the $\lambda$ sequence, where `min(lambda) = lambda.factor * max(lambda)`. max(lambda) is the smallest value of lambda for which all coefficients are zero. λ _max is determined for each $\gamma$ tuning parameter separately. The default depends on the relationship between `T` (the sample size) and `p` (the number of predictors). If `T < p`, the default is `0.01`. If `T > p`, the default is `0.0001`, closer to zero. The smaller the value of `lambda.factor` is, the denser is the fit for λ_min. Used only if `lambda = NULL`.
`lambda`	a user-supplied lambda sequence. By leaving this option unspecified (recommended), users can have the program compute its own `lambda` sequence based on `nlambda` and `lambda.factor.` It is better to supply, if necessary, a decreasing sequence of lambda values than a single (small) value, as warm-starts are used in the optimization algorithm. The program will ensure that the user-supplied $\lambda$ sequence is sorted in decreasing order before fitting the model.
`pf`	the ℓ₁ penalty factor of length `p` used for the adaptive sg-LASSO. Separate ℓ₁ penalty weights can be applied to each coefficient to allow different ℓ₁ + ℓ_2,1 shrinkage. Can be 0 for some variables, which imposes no shrinkage, and results in that variable always be included in the model. Default is 1 for all variables.
`gindex`	p by 1 vector indicating group membership of each covariate.
`dfmax`	the maximum number of variables allowed in the model. Useful for very large `p` when a partial path is desired. Default is `p+1`. In case `method='fe'`, `dfmax` is ignored.
`pmax`	the maximum number of coefficients allowed ever to be nonzero. For example, once β_i ≠ 0 for some i ∈ [p], no matter how many times it exits or re-enters the model through the path, it will be counted only once. Default is `min(dfmax*1.2, p)`.
`standardize`	logical flag for variable standardization, prior to fitting the model sequence. The coefficients are always returned to the original scale. It is recommended to keep `standardize=TRUE`. Default is `FALSE`.
`intercept`	whether intercept be fitted (`TRUE`) or set to zero (`FALSE`). Default is `FALSE`. In case `method='pooled'`, `intercept=TRUE` is forced. In case `method='fe'`, `intercept=FALSE` is forced and `entity` specific intercepts are fitted in a separate output variable `a0`.
`eps`	convergence threshold for block coordinate descent. Each inner block coordinate-descent loop continues until the maximum change in the objective after any coefficient update is less than thresh times the null deviance. Defaults value is `1e-8`.
`maxit`	maximum number of outer-loop iterations allowed at fixed lambda values. Default is `1e6`. If the algorithm does not converge, consider increasing `maxit`.
`peps`	convergence threshold for proximal map of sg-LASSO penalty. Each loop continues until G group difference sup-norm, \|\| β^k_G - β^k-1_G \|\|_∞, is less than `peps`. Defaults value is `1e-8`.

Details

Value

sglfit object.

Author(s)

Jonas Striaukas

Examples

set.seed(1)
x = matrix(rnorm(100 * 20), 100, 20)
beta = c(5,4,3,2,1,rep(0, times = 15))
y = x%*%beta + rnorm(100)
gindex = sort(rep(1:4,times=5))
sglfit(x = x, y = y, gindex = gindex, gamma = 0.5)
set.seed(1)
x = matrix(rnorm(100 * 20), 100, 20)
beta = c(5,4,3,2,1,rep(0, times = 15))
y = x%*%beta + rnorm(100)
gindex = sort(rep(1:4,times=5))
sglfit(x = x, y = y, gindex = gindex, gamma = 0.5)

Nodewise LASSO regressions to fit the precision matrix Θ

Description

Fits the precision matrix Θ by running nodewise LASSO regressions.

Usage

thetafit(x, parallel = FALSE, ncores = getOption("mc.cores", NULL), 
         intercept = FALSE, K = 20, l = 5, seed = NULL, verbose = FALSE, 
         registerpar = TRUE, ...)
thetafit(x, parallel = FALSE, ncores = getOption("mc.cores", NULL), 
         intercept = FALSE, K = 20, l = 5, seed = NULL, verbose = FALSE, 
         registerpar = TRUE, ...)

Arguments

`x`	T by p data matrix, where T and p respectively denote the sample size and the number of regressors.
`parallel`	if `TRUE`, use parallel foreach to fit nodewise LASSO regressions. Parallel registered within the function.
`ncores`	number of cores used in parallelization
`intercept`	whether intercept be fitted (`TRUE`) or set to zero (`FALSE`). Default is `FALSE`.
`K`	number of folds of the cv loop. Default set to `20`.
`l`	the gap used to drop observations round test set data. See tscv.sglfit for more details.
`seed`	set a value for seed to control results replication, i.e. `set.seed(seed)` is used. `seed` is stored in the output list. Default set to `as.numeric(Sys.Date())`.
`verbose`	if `TRUE`, prints progress bar. Default set to `FALSE`.
`registerpar`	if `TRUE`, register parallelization using `registerDoParallel`. Default set to `TRUE`.
`...`	Other arguments that can be passed to tscv.sglfit.

Details

The function runs tscv.sglfit p times by regressing j-th covariate on all other covariates excluding j-th covariate. The precision matrix is then constructed based on LASSO estimates. Each nodewise LASSO regression tuning parameter λ is optimized using time series cross-validation. See tscv.sglfit for more details on cross-validation implementation.

Value

thetafit object.

Author(s)

Jonas Striaukas

Examples

set.seed(1)
x = matrix(rnorm(100 * 20), 100, 20)
thetafit(x = x, parallel = FALSE)
set.seed(1)
x = matrix(rnorm(100 * 20), 100, 20)
thetafit(x = x, parallel = FALSE)

Time series cross-validation fit for sg-LASSO

Description

Does k-fold time series cross-validation for sg-LASSO regression model.

The function runs sglfit K+1 times; the first to get the path solution in λ sequence, the rest to compute the fit with each of the test observation k ∈ K The average error and standard deviation over the folds is computed, and the optimal regression coefficients are returned for lam.min and lam.1se. Solutions are computed for a fixed γ

Usage

tscv.sglfit(x, y, lambda = NULL, gamma = 1.0, gindex = 1:p, 
  K = 20, l = 5, parallel = FALSE, seed = NULL, ...)
tscv.sglfit(x, y, lambda = NULL, gamma = 1.0, gindex = 1:p, 
  K = 20, l = 5, parallel = FALSE, seed = NULL, ...)

Arguments

`x`	T by p data matrix, where T and p respectively denote the sample size and the number of regressors.
`y`	T by 1 response variable.
`lambda`	a user-supplied lambda sequence. By leaving this option unspecified (recommended), users can have the program compute its own λ sequence based on `nlambda` and γ `lambda.factor.` It is better to supply, if necessary, a decreasing sequence of lambda values than a single (small) value, as warm-starts are used in the optimization algorithm. The program will ensure that the user-supplied `lambda` sequence is sorted in decreasing order before fitting the model.
`gamma`	sg-LASSO mixing parameter. γ = 1 gives LASSO solution and γ = 0 gives group LASSO solution.
`gindex`	p by 1 vector indicating group membership of each covariate.
`K`	number of observations drawn for the test set. Default set to `20`.
`l`	the gap used to drop observations round the test set data point. Default set to `5`.
`parallel`	if `TRUE`, use parallel foreach to fit each fold. Must register parallel before hand, such as doMC or others. See the example below.
`seed`	set a value for seed to control results replication, i.e. `set.seed(seed)` is used. `seed` is stored in the output list. Default set to `as.numeric(Sys.Date())`.
`...`	Other arguments that can be passed to sglfit.

Details

The cross-validation is run for sg-LASSO linear model. The sequence of linear regression models implied by λ vector is fit by block coordinate-descent. The objective function is

||y - ια - xβ||²_T + 2λ Ω_γ(β),
where ι∈R^Tenter> and ||u||²_T=<u,u>/T is the empirical inner product. The penalty function Ω_γ(.) is applied on β coefficients and is

Ω_γ(β) = γ |β|₁ + (1-γ)|β|_2,1,
a convex combination of LASSO and group LASSO penalty functions.

Value

tscv.sglfit object.

Author(s)

Jonas Striaukas

Examples

set.seed(1)
x = matrix(rnorm(100 * 20), 100, 20)
beta = c(5,4,3,2,1,rep(0, times = 15))
y = x%*%beta + rnorm(100)
gindex = sort(rep(1:4,times=5))
tscv.sglfit(x = x, y = y, gindex = gindex, gamma = 0.5, 
  standardize = FALSE, intercept = FALSE)
## Not run:  
# Parallel
require(doMC)
registerDoMC(cores = 2)
x = matrix(rnorm(1000 * 20), 1000, 20)
beta = c(5,4,3,2,1,rep(0, times = 15))
y = x%*%beta + rnorm(1000)
gindex = sort(rep(1:4,times=5))
system.time(tscv.sglfit(x = x, y = y, gindex = gindex, gamma = 0.5, 
  standardize = FALSE, intercept = FALSE))
system.time(tscv.sglfit(x = x, y = y, gindex = gindex, gamma = 0.5, 
  standardize = FALSE, intercept = FALSE, parallel = TRUE))

## End(Not run)
set.seed(1)
x = matrix(rnorm(100 * 20), 100, 20)
beta = c(5,4,3,2,1,rep(0, times = 15))
y = x%*%beta + rnorm(100)
gindex = sort(rep(1:4,times=5))
tscv.sglfit(x = x, y = y, gindex = gindex, gamma = 0.5, 
  standardize = FALSE, intercept = FALSE)
## Not run:  
# Parallel
require(doMC)
registerDoMC(cores = 2)
x = matrix(rnorm(1000 * 20), 1000, 20)
beta = c(5,4,3,2,1,rep(0, times = 15))
y = x%*%beta + rnorm(1000)
gindex = sort(rep(1:4,times=5))
system.time(tscv.sglfit(x = x, y = y, gindex = gindex, gamma = 0.5, 
  standardize = FALSE, intercept = FALSE))
system.time(tscv.sglfit(x = x, y = y, gindex = gindex, gamma = 0.5, 
  standardize = FALSE, intercept = FALSE, parallel = TRUE))

## End(Not run)

US real GDP data with several high-frequency predictors

Description

US real GDP, Chicago National Activity Index, Nonfarm payrolls and ADS Index

Usage

data(us_rgdp)
data(us_rgdp)

Format

A list object.a

Source

rgdp
cfnai
payems
ads

Examples


data(us_rgdp)
us_rgdp$rgdp # - GDP data
us_rgdp$cfnai # - CFNAI predictor data
us_rgdp$payems # - Nonfarm payrolls predictor data 
us_rgdp$ads # - ADS predictor data

data(us_rgdp)
us_rgdp$rgdp # - GDP data
us_rgdp$cfnai # - CFNAI predictor data
us_rgdp$payems # - Nonfarm payrolls predictor data 
us_rgdp$ads # - ADS predictor data

Package 'midasml'

Help Index

midasml

Description

Author(s)

ALFRED monthly and quarterly series vintages

Description

Usage

Format

Source

Examples

Cross-validation fit for panel sg-LASSO

Description

Usage

Arguments

Details

Value

Author(s)

Examples

Cross-validation fit for sg-LASSO

Description

Usage

Arguments

Details

Value

Author(s)

Examples

Match dates

Description

Usage

Arguments

Value

Author(s)

Examples

Gegenbauer polynomials shifted to [a,b]

Description

Usage

Arguments

Value

Author(s)

Examples

Information criteria fit for panel sg-LASSO

Description

Usage

Arguments

Details

Value

Author(s)

Examples

Information criteria fit for sg-LASSO

Description

Usage

Arguments

Details

Value

Author(s)

Examples

Legendre polynomials shifted to [a,b]

Description

Usage

Arguments

Value

Author(s)

Examples

SNP500 returns

Description

Usage

Format

Source

Examples

MIDAS regression

Description

Usage

Arguments

Details

Value

Author(s)

Examples

MIDAS data structure

Description