optimlag-class: Representation of class 'optimlag'

In CommonTrend: Extract and plot common trends from a cointegration system. Calculate P-value for Johansen Statistics.

Description

This class contains several useful objects about the optimum lag order for further manipulations.

Arguments

Olag.value	Under the assumption of only one common trend, the lag order to maximize Johansen Statistic(1988).
Olag	The mazimized corresponding Johansen Statistic.
list.lags	A list of all the possible lag orders and their corresponding Johansen Statistics.

Author(s)

Fan Yang

CommonTrend documentation built on May 2, 2019, 3:28 p.m.