info.criterion: Information criterions

In d9d6ka/RANEPA-R: Set of unit root and cointegration tests

Information criterions

Description

Information criterions

Usage

info.criterion(resids, extra, modification = FALSE, alpha = 0, y = NULL)

Arguments

resids	Input residuals needed for estimating the values of information criterions.
extra	Number of extra parameters needed for estimating the punishment term.
modification	Whether the unit-root test modificaton is needed. See Ng and Perron (2001) for further information.
alpha	The coefficient \alpha of y_{t-1} in ADF model. Needed only for criterion modification purposes.
y	The vector of y_{t-1} in ADF model. Needed only for criterion modification purposes.

Details

Calculating the value of the following informational criterions:

• Akaike,

• Schwarz (Bayesian),

• Hannan-Quinn,

• Liu et al.

Value

The list of information criterions values.

References

Ng, Serena, and Pierre Perron. “Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power.” Econometrica 69, no. 6 (2001): 1519–54. https://doi.org/10.1111/1468-0262.00256.

d9d6ka/RANEPA-R documentation built on May 4, 2024, 7:11 a.m.