lazybuildDOLS: Comparing DOLS results in the laziest fashion

In efriedland/friedland: Making Functions Do Your Econometrics For You

Description

A quick way to compare the DOLS models of each possible cointegrating relationships in your dataset. The result is a data.frame that is ordered by BIC value.

Usage

 lazybuildDOLS(results.coint, dat) 

Arguments

results.coint	That output of lazyCoint function.
dat	The time series matrix containing the variables to be used.
fixedk	The number of lags/leads that the output will have. If is NULL, determines the number of lags through model selection.

Details

Relies on buildDOLS and coeftest and NeweyWest HAC estimator to estimate robust errors.

Value

Formula	The full formula in character format.
significance	The resulting P-value from the UnitRoot function, looks directly to the MacKinnon 1994 table.
result	I(0) == stationary.

See Also

buildDOLS, lazyCoint, bic, combn

Examples

results <- lazyCoint("logprice", as.ts(M1Germany))
lazybuildDOLS(results, dat = as.ts(M1Germany))

efriedland/friedland documentation built on Feb. 9, 2021, 11:53 a.m.