Usage: |
{ xresid,trueres,volat,startval,robden,selcrit,perA,perB,noutputf,outpath }=cafpedefault()
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Output: |
| xresid | (nr x 1) vector of residuals for selecting lags
of conditional volatility function; if not needed
set xresid = 0
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| trueres | character variable that contains path and name
of residuals stored in ascii file if y=0;
needed if volat = resid
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| volat | "no": lag selection for conditional mean function;
"resid": lag selection for conditional volatility function,
the residuals of fitting a conditional mean
function have to be contained in xresid
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| startval | character variable, to control treatment of starting values
"different": for each lag vector as few starting
values are used as necessary;
"same": for each lag vector the same starting value is used which
is determined by the largest lag used in the lag selection
quantlet xorigxe
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| robden | character variable for switching on/off robustification
of density estimation a la Tjostheim & Auestad (1994),
see also Section 5 in TY
"yes": on; "no": off
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| selcrit | character variable to select lag selection critierion:
"lqafpe": estimating the asymptotic Final Prediction Error (AFPE) using
local linear estimation and a plug-in bandwidth based on partial
local quadratic estimator
"lqcafpe": estimating the corrected asymptotic Final Prediction Error (CAFPE) using
local linear estimation and a plug-in bandwidth based on partial
local quadratic estimator
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| perA | scalar, parameter used for screening off 0 <= per_A <= 1 percent of the observations
with the lowest density for estimating A, see eq. (3.1) and Section 5 in TY
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| perB | scalar, parameter like per_A but for screening of observations
per_B lowest density for estimating B
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| noutputf | character variable, name of output file
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| outpath | character variable, path for output file
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