Andrews_Lu_MMSC: Andrews Lu MMSC Criteria based on Hansen-J-Statistic

In panelvar: Panel Vector Autoregression

Andrews Lu MMSC Criteria based on Hansen-J-Statistic

Description

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Usage

Andrews_Lu_MMSC(model, HQ_criterion = 2.1)

## S3 method for class 'pvargmm'
Andrews_Lu_MMSC(model, HQ_criterion = 2.1)

Arguments

model	A PVAR model
HQ_criterion	Hannan Quinn criterion

Value

BIC, AIC and HQIC

References

Andrews, D., Lu, B. (2001) Consistent Model and Momement Selection Procedures for GMM Estimation with Application to Dynamic Panel Data Models, Journal of Econometrics, 101(1), 123–164, doi: 10.1016/S0304-4076(00)00077-4

Examples

data("ex3_abdata")
Andrews_Lu_MMSC(ex3_abdata)

panelvar documentation built on Jan. 6, 2023, 1:17 a.m.