selectLags

Purpose

Select lags based on method of statistical inference.

Format

{ stat, p_mat } = selectLags(y, x, maxlag, method, print_out)
Parameters
  • y (Matrix) – Nx1 data to be tested.

  • x (Matrix) – NxK, exogenous regressor. Set equal to 0 if there are no exogenous variables.

  • maxlag (Scalar) – maximum lags.

  • method (String) –

    lag selection method:

    AIC

    Akaike information criterion.

    BIC

    Bayesian information criterion.

    HQC

    Hannan-Quinn criterion.

    FPE

    Final prediction error.

    ALL

    All methods computed.

Returns
  • stat (matrix) – lag selection criterion values.

  • p_mat (matrix) – optimal VAR lags.

Example

new;
cls;
library tsmt;

// Use the simarmamt procedure to generate ar data
// This generates 1000 observations of and
// AR(4) series with a constant
// and standard deviation equal to 1.
b = { 0.1, .3, -.4, 0.2 };
q = 0;
p = 4;
const = 1;
tr = 0;
n = 1000;
k = 1;
std = 1;
seed = 19786;

y = simarmamt( b, p, q, const, tr, n, k, std, seed );

// Set parameters for the simarmamt procedure
// Exogenous variables -- Add intercept
x = ones( rows(y), 1 );

// Max number of lags to test for
p = 8;

// Method to test
method = "AIC";
printOut =1 ;

{ stat , p_mat } = selectLags( y, x, p, method, printOut );

// Method to test
method = "ALL";

{ stat_all , p_mat_all } = selectLags( y, x, p, method, printOut );

Library

tsmt

Source

selectlags.src