selPsignf {pdR} | R Documentation |
Selection of lags.
Description
Lagged coefficient estimates are kept if they are statistically significant
Usage
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.
Value
This function returns the lag orders.
Author(s)
Ho Tsung-wu <tsungwu@ntnu.edu.tw>, modifed from Javier Lopez-de-Lacalle
References
Javier Lopez-de-Lacalle in https://github.com/cran/uroot/blob/master/R/hegy.R
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
[Package pdR version 1.9.2 Index]