lags.select {tsDyn}

Selection of the lag with Information criterion.

Description

Selection of the cointegrating rank and the lags with Information criterion (AIC, BIC).

Usage

lags.select(
  data,
  lag.max = 10,
  include = c("const", "trend", "none", "both"),
  fitMeasure = c("SSR", "LL"),
  sameSample = TRUE
)

Arguments

data

multivariate time series.

lag.max

Maximum number of lags to investigate.

include

Type of deterministic regressors to include.

fitMeasure

Whether the AIC/BIC should be based on the full likelihood, or just the SSR. See explanations in logLik.VECM.

sameSample

Logical. Whether the data should be shortened so that the AIC/BIC are estimated on the same sample. Default to TRUE.

Details

This function selects the lag according to AIC, BIC and Hannan-Quinn.

Value

An object of class rank.select, with ‘print’ and ‘summary methods’, containing among other the matrices of AIC/BIC/HQ.

Author(s)

Matthieu Stigler

See Also

rank.select, the underlying function, to estimate the rank also.

VARselect in package vars, does basically the same.

Examples

data(barry)

# 
rk_sel <- lags.select(barry)
rk_sel
summary(rk_sel)