obs2Optim: Find suitable 2nd observation specification

In RGAP: Production Function Output Gap Estimation

Find suitable 2nd observation specification

Description

Finds the most suitable model for the second observation equation according to the BIC.

Usage

obs2Optim(
  x1,
  x2,
  xexo = NULL,
  errorARmax = 2,
  errorMAmax = 2,
  maxCycleLag = 2,
  maxAR = 2,
  nModels = 1
)

Arguments

x1	A time series, the second observation equation.
xexo	(Optional) A (multiple) time series with exogenous variables.
errorARmax	Integer, maximal AR order of the error process of the 2nd observation equation.
errorMAmax	Integer, maximal MA order of the error process of the 2nd observation equation.
maxCycleLag	Integer, maximal cycle lag included in the 2nd observation equation.
maxAR	Integer, maximal AR order of the time series x2 in the 2nd observation equation. 0 means that no lag is included.
nModels	Integer, maximum number of models chosen to be fitted.

Value

A list containing the chosen parameters: errorAR, errorMA, cycleLag, ar, exo.

RGAP documentation built on Nov. 2, 2023, 6:02 p.m.