VAR.etp (version 0.7)

PR.order: Improved Augmented Regression Method for Predictive Regression

Description

Function to select the order p by AIC or BIC

Usage

PR.order(x, y, pmax = 10)

Arguments

x

predictor or a matrix of predictors in column

y

variable to be predicted, usually stock return

pmax

maximum order for order selection

Value

p.aic

order chosen by AIC

p.aic

order chosen by BIC

Details

Kim J.H., 2014, Predictive Regression: Improved Augmented Regression Method, Journal of Empirical Finance 25, 13-15.

References

Kim J.H., 2014, Predictive Regression: Improved Augmented Regression Method, Journal of Empirical Finance 25, 13-15.

Examples

data(data1)
# Replicating Table 5 (excess return)
y=data1$ret.nyse.vw*100 -data1$tbill*100
x=cbind(log(data1$dy.nyse), data1$tbill*100); k=ncol(x) 

p=PR.order(x,y,pmax=10)$p.bic;  # AR(1)