selPabic: Selection of lags.

In pdR: Threshold Model and Unit Root Tests in Cross-Section and Time Series Data

Selection of lags.

Description

Lagged coefficient estimates are kept if they meet the inequality condition of AIC or BIC.

Usage

selPabic(lmdet, type, Pmax = NULL)

Arguments

lmdet	Object of lm()
type	Take the value of "aic" or "bic".
Pmax	The maximum number of lag orders.

Details

This is an internal function used for HEGY.test(). Beginning with pamx, the lag order will be drop if its inclusion worsens the minimum condition. Hence, they may not be a regular sequence. For example, for pmax=10, the selected lags may look like (1,4,5,8,9), rather than 1,2,3,...10.

Value

This function returns the lag orders.

Author(s)

Ho Tsung-wu <[e-mail]>, modifed from Javier Lopez-de-Lacalle

References

Javier Lopez-de-Lacalle in https://github.com/cran/uroot/blob/master/R/hegy.R

Examples

data(inf_Q)
y=inf_Q[,1]
hegy.out<-HEGY.test(wts=y, itsd=c(1,0,c(1:3)),regvar=0, selectlags=list(mode="aic", Pmax=12))
hegy.out$lagsorder
hegy.out$lagcoefs

pdR documentation built on Aug. 21, 2023, 5:06 p.m.