select.lead.lag.KS: Estimating optimal number of leads and lags
In d9d6ka/RANEPA-R: Set of unit root and cointegration tests

select.lead.lag.KS

R Documentation

Estimating optimal number of leads and lags

Description

Estimating optimal number of leads and lags

Usage

select.lead.lag.KS(
  y,
  trend = TRUE,
  zb = NULL,
  zf = NULL,
  trim = 0.05,
  criterion = "bic"
)

Arguments

`y`	A time series of interest.
`trend`	Whether the trend is to be included.
`zb`	I(1) regressors with break.
`zf`	I(1) regressors without break.
`trim`	The trimming parameter to find the lower and upper bounds of possible break date.
`criterion`	A criterion for lead and lag number estimation.

Details

The function is not intended to be used directly so it's not exported.

Value

A list of estimated values of leads and lags.

References

Kurozumi, Eiji, and Anton Skrobotov. “Confidence Sets for the Break Date in Cointegrating Regressions.” Oxford Bulletin of Economics and Statistics 80, no. 3 (2018): 514–35. https://doi.org/10.1111/obes.12223.

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