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

Description Usage Arguments Value References Examples

View source: R/helper_functions.R

Description

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Usage

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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

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panelvar documentation built on Jan. 28, 2021, 1:09 a.m.