| Library: | cafpe |
| See also: | tp/cafpe/lagfull |
| Quantlet: | lagdir1 | |
| Description: | Quantlet for conducting directed search as in Tjostheim and Auestad (1994) for lag selection. It collects all lags which have not yet been selected into a vector lagno |
| Usage: | { lagno,lagnor } = lagdir1(lagmax,dc,lagdc1) | |
| Input: | ||
| lagmax | scalar, largest lag to be considered for input variable selection | |
| dc | scalar, number of variables to be included in lag vector lagno | |
| lagdc1 | vector that contains all input variables which already have been selected | |
| Output: | ||
| lagnor | scalar, number of input variables that are included in lagno | |
| lagno | (lagnor x 1) vector that contains all input variables that have to be checked in the next round | |
pathcafpe = "tp/cafpe/"; path of CAFPE quantlets
func(pathcafpe + "lagdir1.xpl")
lagmax = 6
dc = 4
lagdc1 = 1|3
{ lagno,lagnor }= lagdir1(lagmax,dc,lagdc1)
"lagno" lagno
"lagnor" lagnor
returns vector of lags to be possibly added next and and their number
| Library: | cafpe |
| See also: | tp/cafpe/lagfull |