SelectLags and TSMT 2.1

I am using Gauss 15.1 and and TSMT 2.1. I am trying to run the SelectLags procedure and have been unable to do so. The manual describes the command differently from what is contained in SelectLags.src. The manual does not list a print option as in the src file and the src file has a setting for exogenous variable but it is unclear to me at least how to use it.  If an example file could be provided that illustrates the command being used, that would be helpful.

4 Answers



0



Let  me provide an updated command reference for the selectLags procedure:

selectlags

 

Purpose

Select lags using AIC, BIC, HQC, or FPE method.

 

Library

tsmt

 

Format

 

{opt, crit_mat} = selectLags(y<, x, p, method, printOut);

 

Input

 

String, selection method:

y Matrix, data to be rescaled for lag selection.
x Matrix, exogenous variables. Should be set to zero if no exogenous variables.
p Scalar, maximum number of lags to test for.
method String, selection method:
  • AIC Akaike information criterion
  • BIC Bayesian information criterion
  • HQC Hannan-Quinn criterion
  • FPE Final prediction error
  • ALL Find and report all methods above.
printOut Scalar, indicator variable to print results to screen.

This should help you get started with the correct syntax for using the selectLags. 

As an example:

//Set parameters for the selectLags procedure
//No exogenous variables
x = 0;

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

//Method to test
method = "AIC";

//Set to print
printOut = 1;

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

Erica

60


0



Thanks to Support for the prompt response.  There are still problems to address with the src file. Using x = 0, I tried each alternative. AIC, FPE, and ALL work as they should but BIC and HQC do not run at all. Also note that the src file lists SC (not BIC) and HQ (not HQC) as alternative choices. Using HQ and SC as choices produces the AIC results in each case. So the routine is usable for getting HQC and BIC results only if the ALL setting is used.



0



There seems to be a further problem when x is not zero. The documentation seems clear that an intercept is not used in the routine. To use an intercept in the routine, I created a variable x[224,1] = 1.  Using this setting for x, the routine fails to run. Thanks in advance for the help.



0



Thank you for your observations regarding the selectLags procedure. We are currently working internally on addressing this issue  and updating the manual. There will be an updated TSMT maintenance release available on Friday, June 12th, 2015.

Erica

60

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