R/lazybuildDOLS.R

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

lazybuildDOLS <- 
function(results.coint, dat, fixedk = NULL){
  ff <- levels(results.coint[,"Formula"])
  mod.LagsnLeads <- mod.significance <- mod.adj.R2 <- mod.bic <- mod.Start <- mod.End <- mod.Nobs <- list()
  for(i in 1:length(ff)){
    x <- ff[i]
    dols <- buildDOLS(as.formula(x), data = dat, fixedk = fixedk)
    mod.LagsnLeads[[i]] <- dols$k
    mod.significance[[i]] <- tryCatch({
      coeftest(dols, vcov = NeweyWest(dols, lag = dols$k))[1:(length(unlist(strsplit(x,"[+]")))+1),"Pr(>|t|)"]
    }, error=function(e) return(NA))
    mod.adj.R2[[i]] <- summary(dols)$adj.r.squared
    mod.Start[[i]] <- as.yearmon(start(dols))[1]
    mod.End[[i]] <- as.yearmon(end(dols))[1]
    mod.Nobs[[i]] <- nobs(dols)
    mod.bic[[i]] <- bic(dols)
  }
  Yvar <- strsplit(as.character(results.coint[1,1]), " ~ ")[[1]][1]
  nVar <- colnames(dat)[-which(colnames(dat) == Yvar)]
  Compare_Cols <- c("(Intercept)", nVar, "adj.R2","Lags/Leads", "Start", "End", "Nobs", "bic")
  Compare_DOLS <- matrix(NA, nrow = length(mod.significance), 
                         ncol = length(Compare_Cols), 
                         dimnames = list(names(mod.significance), 
                                         Compare_Cols))
  InCol <- lapply(mod.significance, function(x) match(names(x), Compare_Cols)) # where to put the significance values
  for(i in 1:length(mod.significance)){ Compare_DOLS[i, InCol[[i]]] <- round(mod.significance[[i]],3) }
  Compare_DOLS[,"adj.R2"] <- unlist(mod.adj.R2)
  Compare_DOLS[,"Lags/Leads"] <- unlist(mod.LagsnLeads)
  Compare_DOLS[,"Start"] <- unlist(mod.Start)
  Compare_DOLS[,"End"] <- unlist(mod.End)
  Compare_DOLS[,"Nobs"] <- unlist(mod.Nobs)
  Compare_DOLS[,"bic"] <- unlist(mod.bic)
  rownames(Compare_DOLS) <- ff
  as.data.frame(Compare_DOLS[order(Compare_DOLS[,"bic"]),,drop = F]) # Comparison across all cointegrating buildDOLS results
}