lags.select: Selection of the lag with Information criterion.

In tsDyn: Nonlinear Time Series Models with Regime Switching

Selection of the lag with Information criterion.

Description

Selection of the cointegrating rank and the lags with Information criterion (AIC, BIC).

Usage

lags.select(
  data,
  lag.max = 10,
  include = c("const", "trend", "none", "both"),
  fitMeasure = c("SSR", "LL"),
  sameSample = TRUE
)

Arguments

data	multivariate time series.
lag.max	Maximum number of lags to investigate.
include	Type of deterministic regressors to include.
fitMeasure	Whether the AIC/BIC should be based on the full likelihood, or just the SSR. See explanations in logLik.VECM.
sameSample	Logical. Whether the data should be shortened so that the AIC/BIC are estimated on the same sample. Default to TRUE.

Details

This function selects the lag according to AIC, BIC and Hannan-Quinn.

Value

An object of class rank.select, with ‘print’ and ‘summary methods’, containing among other the matrices of AIC/BIC/HQ.

Author(s)

Matthieu Stigler

See Also

rank.select, the underlying function, to estimate the rank also.

VARselect in package vars, does basically the same.

Examples

data(barry)

# 
rk_sel <- lags.select(barry)
rk_sel
summary(rk_sel)

tsDyn documentation built on Oct. 31, 2024, 5:08 p.m.