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 D-OLS estimation (see Details).
|
y |
[numeric | matrix | data.frame ]
LHS variable(s) on which to apply the D-OLS estimation (see Details).
Has to be one-dimensional. 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 non-negative 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 D-OLS: 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]