Lag Selection

[Daisuke Mori]

Dear Matthieu,

When I used "lags.select" in tsDyn, I found that "best number of lags" of HQ is not correct and it is always the same as the number of BICs.

So, I checked the content of S3method "summary" of rank.select, I found the following code.

HQ_minlag<-apply(object$BICs, 1, which.min)

I wonder if it should be "HQ_minlag<-apply(object$HQs, 1, which.min)".

Sincerely,

Daisuke

[Matthieu S]

Well spotted, this is indeed a mistake, thanks for reporting!

I just commited a bug fix commit on the Dev branch: https://github.com/MatthieuStigler/tsDyn/commits/Dev94/tsDyn

You can install it with:

library(remotes)
install_github("MatthieuStigler/tsDyn/tsDyn", ref = "Dev94")

Best

MAtthieu

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