getLeadLag: Leads and Lags

In cointReg: Parameter Estimation and Inference in a Cointegrating Regression

Description

Generates "optimal" numbers of leads and lags for the Dynamic OLS estimator.

Usage

getLeadLag(x, y, deter, max.lag, max.lead, ic = c("AIC", "BIC"),
  symmet = FALSE, check = FALSE)

Arguments

x	[numeric | matrix | data.frame] RHS variables on which to apply the D-OLS estimation (see Details).
y	[numeric | matrix | data.frame] LHS variable(s) on which to apply the D-OLS estimation (see Details). Has to be one-dimensional. If matrix, it may have only one row or column, if data.frame just one column.
deter	[numeric | matrix | data.frame | NULL] Deterministic variable to include in the equation (see Details). If it's NULL or missing, no deterministic variable is included in the model.
max.lead, max.lag	[numeric(1)] Maximal numbers of leads and lags, have to be non-negative integer values.
ic	[character(1)] Information criterion (one of "AIC" or "BIC").
symmet	[logical(1)] If TRUE, only looks for equal leads and lags.
check	[logical] Wheather to check (and if necessary convert) the arguments. See checkVars for further information.

Value

[numeric(2)]. "Optimal" numbers of leads and lags.

See Also

Other D-OLS: cointRegD, getModD, makeLeadLagMatrix

Examples

set.seed(1909)
y <- matrix(cumsum(rnorm(100)), ncol = 1)
x <- matrix(rep(y, 4) + rnorm(400, mean = 3, sd = 2), ncol = 4)
deter <- cbind(1, 1:100)
cointReg:::getLeadLag(x = x, y = y, deter = deter, max.lag = 5,
                      max.lead = 5, ic = "AIC", symmet = FALSE)

cointReg documentation built on May 2, 2019, 3:45 a.m.