lagSelect: Select the optimal number of lags, given criteria
In tsungwu/pdR: Threshold Model and Unit Root Tests in Cross-Section and Time Series Data
lagSelect R Documentation
Select the optimal number of lags, given criteria
Description
Determine the optimal number of lags for dynamic regression
Usage
lagSelect(y, maxp, ic)
Arguments
y
A univariate time series data
maxp
the max number of lags
ic
Information criteria, either "AIC" or "BIC"
Details
Information criteria "AIC" and "BIC" use the R built-in functions.
Value
It returns an integer, indicating the optimal lags
Author(s)
Ho Tsungwu <tsungwu@cc.shu.edu.tw>
Examples
#library(pdR)
#data(inf19)
#y<-inf19[,1]
#lagSelect(y,maxp=25,ic="BIC")
tsungwu/pdR documentation built on June 14, 2022, 6:43 a.m.
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| lagSelect | R Documentation |
Select the optimal number of lags, given criteria
Description
Determine the optimal number of lags for dynamic regression
Usage
lagSelect(y, maxp, ic)
Arguments
y |
A univariate time series data |
maxp |
the max number of lags |
ic |
Information criteria, either "AIC" or "BIC" |
Details
Information criteria "AIC" and "BIC" use the R built-in functions.
Value
It returns an integer, indicating the optimal lags
Author(s)
Ho Tsungwu <tsungwu@cc.shu.edu.tw>
Examples
#library(pdR) #data(inf19) #y<-inf19[,1] #lagSelect(y,maxp=25,ic="BIC")
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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