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
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Let me provide an updated command reference for the selectLags procedure:
selectlags
Purpose
Library
Format
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: |
|
|
| 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);
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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.
Your Answer
4 Answers
Let me provide an updated command reference for the selectLags procedure:
selectlags
Purpose
Library
Format
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: |
|
|
| 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);
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.
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.