apt (version 1.1)

plot.ciTarLag: Plot of AIC and BIC for Threshold Cointegration by Lag

Description

Plot the values of AIC and BIC for threshold cointegration regressions by lag length.

Usage

## S3 method for class 'ciTarLag':
plot(x, \dots)

Arguments

x

an object of class 'ciTarLag'.

...

additional arguments to be passed.

Value

• A panel of two graphs.

Details

This demonstrates the trend of AIC and BIC changes of threshold cointegration regressions by lag. It facilitates the selection of the best lag for a threshold cointegration model.

References

Enders, W., and C.W.J. Granger. 1998. Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics 16(3):304-311.

See Also

ciTarLag; ciTarThd; and ciTarFit.

Examples

data(daVi); data(daCh)
t.tar <- -8.041; t.mtar <- -0.451
mx <- 4
(g4 <-ciTarLag(y=daVi, x=daCh, model="mtar",maxlag=mx, 
    adjust=TRUE, thresh=t.mtar))
plot(g4)