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optimal lags storing #3

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332c829
modified class & ur.df
ceschi Nov 7, 2017
99ce039
blip
ceschi Nov 20, 2017
aeb1bdc
Update README.md
ceschi Nov 21, 2017
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1 change: 1 addition & 0 deletions R/All-classes.R
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Expand Up @@ -95,6 +95,7 @@ setClass("ur.pp", representation(y="vector",
setClass("ur.df", representation(y="vector",
model="character",
lags="integer",
optilags='integer',
cval="matrix",
res="vector",
teststat="matrix",
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5 changes: 3 additions & 2 deletions R/ur-df.R
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Expand Up @@ -36,7 +36,7 @@ ur.df <- function (y, type = c("none", "drift", "trend"), lags = 1, selectlags =
result <- lm(z.diff ~ z.lag.1 + 1 + tt + z.diff.lag)
critRes[i]<-AIC(result, k = switch(selectlags, "AIC" = 2, "BIC" = log(length(z.diff))))
}
lags<-which.min(critRes)
lags <- optimaxlags <- which.min(critRes)
}
z.diff.lag = x[, 2:lags]
if (type == "none") {
Expand Down Expand Up @@ -168,5 +168,6 @@ ur.df <- function (y, type = c("none", "drift", "trend"), lags = 1, selectlags =
colnames(cvals) <- c("1pct", "5pct", "10pct")
rownames(cvals) <- testnames

new("ur.df", y = y, model = type, cval=cvals, lags=lag, teststat = teststat, testreg=testreg, res=res, test.name="Augmented Dickey-Fuller Test")
new("ur.df", y = y, model = type, cval=cvals, lags=lag, optilags = optimaxlags,
teststat = teststat, testreg=testreg, res=res, test.name="Augmented Dickey-Fuller Test")
}
3 changes: 3 additions & 0 deletions README.md
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Expand Up @@ -6,4 +6,7 @@ book
[Analysis of Integrated and Cointegrated Time Series with R](http://www.springer.com/us/book/9780387759661).
The package is hosted on [CRAN](https://CRAN.R-project.org/package=urca).

#### !! - Important Disclaimer - !!

This package is a slightly modified version of the officially released ```urca``` package, which I modified for my own specific purposes. I modified the ```ur.df``` class and function so to store optimal lags and extract them for later use. This modification has not been tested outside the limited scope of my code and machine. Additional, minor modifications are planned but not high in priority.