Description
Usage
Arguments
Value
See Also
Examples
View source: R/cointRegDOLS.R
Generates "optimal" numbers of leads and lags for the Dynamic OLS estimator.
 (x, y, deter, max.lag, max.lead, ic = ("AIC", "BIC"),
symmet = , = )

x 
[numeric  matrix  data.frame ]
RHS variables on which to apply the DOLS estimation (see Details).

y 
[numeric  matrix  data.frame ]
LHS variable(s) on which to apply the DOLS estimation (see Details).
Has to be onedimensional. 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 nonnegative 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.

[numeric(2)
]. "Optimal" numbers of leads and lags.
Other DOLS: cointRegD
,
getModD
, makeLeadLagMatrix
 (1909)
y < (((100)), = 1)
x < ((y, 4) + (400, = 3, = 2), = 4)
deter < (1, 1:100)
:::(x = x, y = y, deter = deter, max.lag = 5,
max.lead = 5, ic = "AIC", symmet = )

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