tsDyn: lags.select – R documentation

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lags.select

Selection of the lag with Information criterion.

Selection of the cointegrating rank and the lags with Information criterion (AIC, BIC).

lags.select(data, lag.max = 10, include = c("const", "trend", "none",
  "both"), fitMeasure = c("SSR", "LL"), sameSample = TRUE)

`data`	multivariate time series.
`lag.max`	Maximum number of lags to investigate.
`include`	Type of deterministic regressors to include.
`fitMeasure`	Whether the AIC/BIC should be based on the full likelihood, or just the SSR. See explanations in `logLik.VECM`.
`sameSample`	Logical. Whether the data should be shortened so that the AIC/BIC are estimated on the same sample. Default to TRUE.

This function selects the lag according to AIC, BIC and Hannan-Quinn.

An object of class rank.select, with ‘print’ and ‘summary methods’, containing among other the matrices of AIC/BIC/HQ.

Matthieu Stigler

data(barry)

#
rk_sel <- lags.select(barry)
rk_sel
#summary(rk_sel)

Nonlinear Time Series Models with Regime Switching

v10-1.2

GPL (>= 2)

Authors

Antonio Fabio Di Narzo [aut], Jose Luis Aznarte [ctb], Matthieu Stigler [aut], Ho Tsung-wu [cre]

Initial release

2020-02-04