mfvar |
noconst | Do not include a constant in exogenous regressors list. |
hfobs = integer | Number of low frequency regressors for each high frequency variable (default is the full number of observations based on the two frequencies, e.g., 3 for monthly data in a quarterly specification). |
bvar | Use Bayesian estimation (default is U-MIDAS). |
last | Use last-period frequency conversion (default is to use the first period). |
lambda = arg | Set the lambda overall tightness hyper-parameter (only applicable with Bayesian estimation where “bvar” is specified). |
uphl = arg | Set the upsilon high-low frequency scale hyper-parameter (only applicable with Bayesian estimation where “bvar” is specified). |
uplh = arg | Set the upsilon low-high frequency scale hyper-parameter (only applicable with Bayesian estimation where “bvar” is specified). |
rhoh = arg | Set the rho high frequency AR(1) hyper-parameter (only applicable with Bayesian estimation where “bvar” is specified). |
rhol = arg | Set the rho low frequency AR(1) hyper-parameter (only applicable with Bayesian estimation where “bvar” is specified). |
initcov= (default =“umidas”) | Initial covariance estimate: U-MIDAS (“umidas”), identity matrix (“identity”) (only applicable with Bayesian estimation where “bvar” is specified). |
kappa = arg | Set the kappa exogenous tightness hyper-parameter (only applicable with Bayesian estimation where “bvar” is specified). |
draws = num (default=100000) | Set the number of MCMC draws (only applicable with Bayesian estimation where “bvar” is specified). |
burn = num (default=0.1) | Set the proportion of MCMC draws to use as a burn-in (only applicable with Bayesian estimation where “bvar” is specified). |
seed = num | Set the seed for the MCMC generator (only applicable with Bayesian estimation where “bvar” is specified). |
prompt | Force the dialog to appear from within a program. |
p | Print basic estimation results. |