selPabic function

Selection of lags.

Lagged coefficient estimates are kept if they meet the inequality condition of AIC or BIC.

selPabic(lmdet, type, Pmax = NULL)

Arguments

• lmdet: Object of lm()
• type: Take the value of "aic" or "bic".
• Pmax: The maximum number of lag orders.

Details

This is an internal function used for HEGY.test(). Beginning with pamx, the lag order will be drop if its inclusion worsens the minimum condition. Hence, they may not be a regular sequence. For example, for pmax=10, the selected lags may look like (1,4,5,8,9), rather than 1,2,3,...10.

Returns

This function returns the lag orders.

References

Javier Lopez-de-Lacalle in https://github.com/cran/uroot/blob/master/R/hegy.R

Author(s)

Ho Tsung-wu tsungwu@ntnu.edu.tw, modifed from Javier Lopez-de-Lacalle

Examples

data(inf_Q)
y=inf_Q[,1]
hegy.out<-HEGY.test(wts=y, itsd=c(1,0,c(1:3)),regvar=0, selectlags=list(mode="aic", Pmax=12))
hegy.out$lagsorder
hegy.out$lagcoefs