getLeadLag {cointReg}  R Documentation 
Leads and Lags
Description
Generates "optimal" numbers of leads and lags for the Dynamic OLS estimator.
Usage
getLeadLag(x, y, deter, max.lag, max.lead, ic = c("AIC", "BIC"),
symmet = FALSE, check = FALSE)
Arguments
x 
[numeric  matrix  data.frame ]
RHS variables on which to apply the DOLS estimation (see Details).

y 
[numeric  matrix  data.frame ]
LHS variable(s) on which to apply the DOLS estimation (see Details).
Has to be onedimensional. If matrix , it may
have only one row or column, if data.frame just one column.

deter 
[numeric  matrix  data.frame 
NULL ]
Deterministic variable to include in the equation (see Details). If it's
NULL or missing, no deterministic variable is included in the model.

max.lead , max.lag 
[numeric(1) ]
Maximal numbers of leads and lags, have to be nonnegative integer values.

ic 
[character(1) ]
Information criterion (one of "AIC" or "BIC" ).

symmet 
[logical(1) ]
If TRUE , only looks for equal leads and lags.

check 
[logical ]
Wheather to check (and if necessary convert) the arguments.
See checkVars for further information.

Value
[numeric(2)
]. "Optimal" numbers of leads and lags.
See Also
Other DOLS: cointRegD
,
getModD
, makeLeadLagMatrix
Examples
set.seed(1909)
y < matrix(cumsum(rnorm(100)), ncol = 1)
x < matrix(rep(y, 4) + rnorm(400, mean = 3, sd = 2), ncol = 4)
deter < cbind(1, 1:100)
cointReg:::getLeadLag(x = x, y = y, deter = deter, max.lag = 5,
max.lead = 5, ic = "AIC", symmet = FALSE)
[Package
cointReg version 0.2.0
Index]