Constructs Almon lag polynomial

Constructs Almon lag polynomial

Almon_lag(polydegree, C, R)

Arguments

polydegree

degree of polynomial
C

number of columns in Q matrix (???)
R

two numbers (???)

Value

Q matrix

Details

Function constructs Almon lag polynomial as in the article by Matteo Mogliani Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction 2 Jan 2020 Enables to put endpoint restrictions on the value and on slope of the lag polynomial default R=c(1,1) Meaning that restrictions jointly constrain the weighting structure to tail off slowly to zero

Examples

Almon_lag(2, 5, c(1, 0))
#>      [,1] [,2] [,3] [,4] [,5]
#> [1,]   -4   -3   -2   -1    0
#> [2,]  -16  -15  -12   -7    0