get_vals_lagcrit: Compute values for lag length criteria

In lpirfs: Local Projections Impulse Response Functions

Compute values for lag length criteria

Description

Compute values for 'AICc', 'AIC', or 'BIC'.

Schwarz, Gideon E. (1978). "Estimating the dimension of a model", Annals of Statistics, 6 (2): 461–464.

Usage

get_vals_lagcrit(y, x, lag_crit, h, k, max_lags, n_obs)

Arguments

y	List with left (endogenous) variables.
x	List with right (exogenous) variables.
lag_crit	Integer: 'AICc'= 1, 'AIC' = 2, 'BIC' = 3.
h	Integer.
k	Integer.
max_lags	Integer.

References

Akaike, H. (1974). "A new look at the statistical model identification", IEEE Transactions on Automatic Control, 19 (6): 716–723.

lpirfs documentation built on July 9, 2023, 6:35 p.m.