s2ar: Finding optimal lag for dfgls test

In Stevo15025/PANICr: PANIC Tests of Nonstationarity

Finding optimal lag for dfgls test

Description

This function finds the optimal lag kstar for the dfgls test.

Usage

s2ar(yts, penalty, kmax, kmin)

Arguments

yts	A matrix containing the data to find kstar for.
penalty	a binary selection of 0 or 1. 0 uses the MAIC, a penalty on k that accounts for the bias in the sum of the autoregressive coefficients. 1 uses the more general form MIC.
kmax	An integer of the maximum number of lags for the vector autoregressions. An upper bound of (12x(T/100)^.25)^8 is suggested in Schwert (1989)
kmin	An integer of the minimum number of lags for the vector autoregression. k equal to 0 is a reasonable point.

Value

kstar A vector of optimal lags for each column of yts

References

Schwert, G. W. 1989. Tests for unit roots: A Monte Carlo investigation. Journal of Business and Economic Statistics 2: 147-159.

Serana Ng and P. Perron. 2000. Lag length selection and the construction of unit root tests with good size and power. Econometrica 69:1519-1554.

Stevo15025/PANICr documentation built on Sept. 7, 2024, 4:30 p.m.