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 05 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

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  
envirem  
Generation of ENVIREM Variables
Generation of bioclimatic rasters that are complementary to the typical 19 bioclim variables. ...
Download / Learn more Package Citations See dependency  
msm  
Multi-State Markov and Hidden Markov Models in Continuous Time
Functions for fitting continuous-time Markov and hidden Markov multi-state models to longitudinal d ...
Download / Learn more Package Citations See dependency  
ibb  
R Wrapper for Istanbul Municipality Open Data Portal
Call wrappers for Istanbul Metropolitan Municipality's Open Data Portal (Turkish: Istanbul B ...
Download / Learn more Package Citations See dependency  
crossurr  
Cross-Fitting for Doubly Robust Evaluation of High-Dimensional Surrogate Markers
Doubly robust methods for evaluating surrogate markers as outlined in: Agniel D, Hejblum BP, Thiebau ...
Download / Learn more Package Citations See dependency  

27,268

R Packages

233,548

Dependencies

72,590

Author Associations

27,205

Publication Badges

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