pdR (version 1.9.3)

selPsignf: Selection of lags.

Description

Lagged coefficient estimates are kept if they are statistically significant

Usage

selPsignf(lmdet, cvref = 1.65, Pmax = NULL)

Value

This function returns the lag orders.

Arguments

lmdet

Object of lm()

cvref

Reference of critical values, the default is 1.65.

Pmax

The maximum number of lag orders.

Author

Ho Tsung-wu <[e-mail]>, modifed from Javier Lopez-de-Lacalle

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.

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