modsel: Select the model based on given information criteria

In midasr: Mixed Data Sampling Regression

Description

Selects the model with minimum of given information criteria and model type

Usage

modsel(
  x,
  IC = x$IC[1],
  test = x$test[1],
  type = c("restricted", "unrestricted"),
  print = TRUE
)

Arguments

x	a midas_r_ic_table object
IC	the name of information criteria to base the choosing of the model
test	the name of the test for which to print out the p-value
type	the type of MIDAS model, either restricted or unrestricted
print	logical, if TRUE, prints the summary of the best model.

Details

This function selects the model from the model selection table for which the chosen information criteria achieves the smallest value. The function works with model tables produced by functions lf_lags_table, hf_lags_table, amidas_table and midas_r_ic_table.

Value

(invisibly) the best model based on information criteria, midas_r object

Author(s)

Virmantas Kvedaras, Vaidotas Zemlys

Examples

data("USunempr")
data("USrealgdp")
y <- diff(log(USrealgdp))
x <- window(diff(USunempr),start=1949)
trend <- 1:length(y)

mhfr <- hf_lags_table(y~trend+fmls(x,12,12,nealmon),
                      start=list(x=rep(0,3)),
                      from=list(x=0),to=list(x=c(4,6)))

mlfr <- lf_lags_table(y~trend+fmls(x,12,12,nealmon),
                      start=list(x=rep(0,3)),
                      from=list(x=0),to=list(x=c(2,3)))

modsel(mhfr,"BIC","unrestricted")

modsel(mlfr,"BIC","unrestricted")

midasr documentation built on Feb. 23, 2021, 5:11 p.m.