selPsignf: 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 are statistically significant

Usage

selPsignf(lmdet, cvref = 1.65, Pmax = NULL)

Arguments

lmdet	Object of lm()
cvref	Reference of critical values, the default is 1.65.
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 kept if it is statistically significant. Hence, the lag orders may not be a regular sequence. For example, for pmax=10, the seelcted 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="signf", Pmax=12))
hegy.out$lagsorder
hegy.out$lagcoefs

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