Andrews_Lu_MMSC function

Andrews Lu MMSC Criteria based on Hansen-J-Statistic

...

Andrews_Lu_MMSC(model, HQ_criterion = 2.1)

## S3 method for class 'pvargmm'
Andrews_Lu_MMSC(model, HQ_criterion = 2.1)

Arguments

• model: A PVAR model
• HQ_criterion: Hannan Quinn criterion

Returns

BIC, AIC and HQIC

Examples

data("ex3_abdata")
Andrews_Lu_MMSC(ex3_abdata)

References

Andrews, D., Lu, B. (2001) Consistent Model and Momement Selection Procedures for GMM Estimation with Application to Dynamic Panel Data Models, Journal of Econometrics, 101 (1), 123--164, tools:::Rd_expr_doi("10.1016/S0304-4076(00)00077-4")