lagSelect function

Select the optimal number of lags, given criteria

Determine the optimal number of lags for dynamic regression

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.

Returns

It returns an integer, indicating the optimal lags

Author(s)

Ho Tsung-wu tsungwu@ntnu.edu.tw, College of Management, National Taiwan Normal University.

Examples

#library(pdR)
#data(inf19)
#y<-inf19[,1]
#lagSelect(y,maxp=25,ic="BIC")