selPsignf function

Selection of lags.

Lagged coefficient estimates are kept if they are statistically significant

selPsignf(lmdet, cvref = 1.65, Pmax = NULL)

Arguments

• lmdet: Object of lm()
• cvref: Reference of critical values, the default is 1.65.
• 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 kept if it is statistically significant. Hence, the lag orders may not be a regular sequence. For example, for pmax=10, the seelcted 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="signf", Pmax=12))
hegy.out$lagsorder
hegy.out$lagcoefs