selPabic: Selection of lags.

Description Usage Arguments Details Value Author(s) References Examples

View source: R/hegy.R

Description

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

Usage

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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 Tsungwu <[email protected]>, modifed from Javier Lopez-de-Lacalle

References

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

Examples

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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 May 30, 2017, 3:24 a.m.