Other packages > Find by keyword >

midasml  

Estimation and Prediction Methods for High-Dimensional Mixed Frequency Time Series Data
View on CRAN: Click here


Download and install midasml package within the R console
Install from CRAN:
install.packages("midasml")

Install from Github:
library("remotes")
install_github("cran/midasml")

Install by package version:
library("remotes")
install_version("midasml", "0.1.11")



Attach the package and use:
library("midasml")
Maintained by
Jonas Striaukas
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2020-06-25
Latest Update: 2022-04-29
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) . 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.
How to cite:
Jonas Striaukas (2020). midasml: Estimation and Prediction Methods for High-Dimensional Mixed Frequency Time Series Data. R package version 0.1.11, https://cran.r-project.org/web/packages/midasml. Accessed 25 Jun. 2026.
Previous versions and publish date:
0.0.1 (2020-06-25 18:10), 0.0.2 (2020-07-01 14:00), 0.0.3 (2020-07-03 18:40), 0.0.4 (2020-07-05 00:50), 0.0.5 (2020-07-05 23:20), 0.0.6 (2021-03-13 00:00), 0.1.0 (2021-04-14 14:00), 0.1.2 (2021-04-22 02:10), 0.1.3 (2021-04-22 16:00), 0.1.4 (2021-04-23 17:00), 0.1.5-1 (2021-05-20 10:30), 0.1.5 (2021-05-05 16:40), 0.1.6 (2021-11-30 15:30), 0.1.7 (2021-12-08 14:00), 0.1.8 (2021-12-16 10:00), 0.1.9-1 (2022-02-15 20:20), 0.1.9 (2022-01-10 14:22), 0.1.10 (2022-04-29 09:00)
Other packages that cited midasml R package
View midasml citation profile
Other R packages that midasml depends, imports, suggests or enhances
Complete documentation for midasml
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

edeaR  
Exploratory and Descriptive Event-Based Data Analysis
Exploratory and descriptive analysis of event based data. Provides methods for describing and select ...
Download / Learn more Package Citations See dependency  
foster  
Forest Structure Extrapolation with R
Set of tools to streamline the modeling of the relationship betweensatellite imagery time series or ...
Download / Learn more Package Citations See dependency  
quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  
airGRiwrm  
'airGR' Integrated Water Resource Management
Semi-distributed Precipitation-Runoff Modelling based on 'airGR' package models integrating human i ...
Download / Learn more Package Citations See dependency  
sitmo  
Parallel Pseudo Random Number Generator (PPRNG) 'sitmo' Header Files
Provided within are two high quality and fast PPRNGs that may be used in an 'OpenMP' parallel enviro ...
Download / Learn more Package Citations See dependency  

27,535

R Packages

236,180

Dependencies

73,223

Author Associations

27,536

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA