modsel function

Select the model based on given information criteria

Selects the model with minimum of given information criteria and model type

modsel(
  x,
  IC = x$IC[1],
  test = x$test[1],
  type = c("restricted", "unrestricted"),
  print = TRUE
)

Arguments

• x: a midas_r_ic_table object
• IC: the name of information criteria to base the choosing of the model
• test: the name of the test for which to print out the p-value
• type: the type of MIDAS model, either restricted or unrestricted
• print: logical, if TRUE, prints the summary of the best model.

Returns

(invisibly) the best model based on information criteria, midas_r object

Details

This function selects the model from the model selection table for which the chosen information criteria achieves the smallest value. The function works with model tables produced by functions lf_lags_table , hf_lags_table , amidas_table and midas_r_ic_table .

Examples

data("USunempr")
data("USrealgdp")
y <- diff(log(USrealgdp))
x <- window(diff(USunempr),start=1949)
trend <- 1:length(y)

mhfr <- hf_lags_table(y~trend+fmls(x,12,12,nealmon),
                      start=list(x=rep(0,3)),
                      from=list(x=0),to=list(x=c(4,6)))

mlfr <- lf_lags_table(y~trend+fmls(x,12,12,nealmon),
                      start=list(x=rep(0,3)),
                      from=list(x=0),to=list(x=c(2,3)))

modsel(mhfr,"BIC","unrestricted")

modsel(mlfr,"BIC","unrestricted")

Author(s)

Virmantas Kvedaras, Vaidotas Zemlys