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 Aug. 2026.
Previous versions and publish date:
(2026-07-09 06:30), 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

r2resize  
In-Text Resize for Images, Tables and Fancy Resize Containers in 'shiny', 'rmarkdown' and 'quarto' Documents
Automatic resizing toolbar for containers, images and tables. Various resizable or expandable contai ...
Download / Learn more Package Citations See dependency  
missDiag  
Comparing Observed and Imputed Values under MAR and MCAR
Implements the computation of discrepancy statistics summarizing differences between the density of ...
Download / Learn more Package Citations See dependency  
commonsMath  
JAR Files of the Apache Commons Mathematics Library
'Java' JAR files for the Apache Commons Mathematics Library for use by users and other packages. ...
Download / Learn more Package Citations See dependency  
hwep  
Hardy-Weinberg Equilibrium in Polyploids
Inference concerning equilibrium and random mating in autopolyploids. Methods are available to test ...
Download / Learn more Package Citations See dependency  
connectwidgets  
Organize and Curate Your Content Within 'Posit Connect'
A collection of helper functions and 'htmlwidgets' to help publishers curate content collections on ...
Download / Learn more Package Citations See dependency  

28,332

R Packages

239,283

Dependencies

75,113

Author Associations

28,333

Publication Badges

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