Model Selection and Usage of Convenience Function from the midasr package in the context of an Unrestricted Midas model
I have a quarterly (y_ts_ready) and 4 monthly (x1_ts_ready, …, x4_ts_ready) time series. I want to use the 4 monthly time series to forecast the quarterly one. Midas regressions have appeared to me to be the most appropriate approach to it. Therefore I am using the midasr package in R to implment this.