panelvar: Andrews_Lu_MMSC – R documentation

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Andrews_Lu_MMSC

Andrews Lu MMSC Criteria based on Hansen-J-Statistic

Description

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Usage

Andrews_Lu_MMSC(model, HQ_criterion = 2.1)

## S3 method for class 'pvargmm'
Andrews_Lu_MMSC(model, HQ_criterion = 2.1)

Arguments

`model`	A PVAR model
`HQ_criterion`	Hannan Quinn criterion

Value

BIC, AIC and HQIC

References

Andrews, D., Lu, B. (2001) Consistent Model and Momement Selection Procedures for GMM Estimation with Application to Dynamic Panel Data Models, Journal of Econometrics, 101(1), 123–164, doi: 10.1016/S0304-4076(00)00077-4

Examples

data("ex3_abdata")
Andrews_Lu_MMSC(ex3_abdata)

panelvar

Panel Vector Autoregression

v0.5.3

GPL (>= 2)

Authors

Michael Sigmund [aut], Robert Ferstl [aut, cre]

Initial release