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getLeadLag

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

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)
cointReg

Parameter Estimation and Inference in a Cointegrating Regression

v0.2.0
GPL-3
Authors
Philipp Aschersleben [aut, cre], Martin Wagner [aut] (Author of underlying MATLAB code.)
Initial release
2016-06-14

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