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mlsd function and (average_forecast) - (select_and_forecast) #98

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sadrzadehsaeed opened this issue Oct 12, 2024 · 0 comments
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@sadrzadehsaeed
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sadrzadehsaeed commented Oct 12, 2024

i use mlsd function

base_model_nbeta <- midas_r(RV5min_W ~ mlsd(RV5min_D,0:50,datey , nbeta),
start = list(RV5min_D=c(1,1,6)))

summary(base_model_nbeta)

MIDAS regression model with "xts" data:
Start = 2015-02-15, End = 2024-09-08

Formula RV5min_W ~ mlsd(RV5min_D, 0:50, datey, nbeta)

Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.010423 0.001907 -5.465 7.34e-08 ***
RV5min_D1 3.075626 0.057360 53.619 2e-16 ***
RV5min_D2 4.409654 0.929799 4.743 2.76e-06 ***
RV5min_D3 20.131737 4.612471 4.365 1.55e-05 ***

Residual standard error: 0.01362 on 496 degrees of freedom


The result is good,
but I want use (midas_r_ic_table), (average_forecast) - (select_and_forecast)
i got error , I sure you implement this in package and I don't how use it. Please help me in this because mlsd is better function than MLS for my data.
There is error for average forecast :


average_forecast(base_model_almonp,
data = list(RV5min_W=RV5min_W, RV5min_D=RV5min_D),
insample = 1:500, outsample = 501:505,
type = "rolling",
measures=c("MSE","MAPE","MASE"),
fweights=c("EW","BICW","MSFE","DMSFE"))

Error in x$terms : $ operator is invalid for atomic vectors

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