Description Usage Arguments Details Value Author(s) See Also Examples

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

1 2 |

`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 |

`sameSample` |
Logical. Whether the data should be shortened so that the AIC/BIC are estimated on the same sample. Default to TRUE. |

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

An object of class `rank.select`

, with ‘print’ and
‘summary methods’, containing among other the matrices of AIC/BIC/HQ.

Matthieu Stigler

`rank.select`

, the underlying function, to estimate the
rank also.

`VARselect`

in package vars, does basically the same.

1 2 3 4 5 6 | ```
data(barry)
#
rk_sel <- lags.select(barry)
rk_sel
#summary(rk_sel)
``` |

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