Hi TimeSeries and R gurus,

Is there any way to impliment Elliott–Rothenberg–Stock (ERS) with Hannan-Quinn lag selection criterion in R?

Libraries like urca, fUnitRoots and fSeries have commands for Elliott–Rothenberg–Stock unitroot test. However, I could not find any option where I can use HQIC for automatic lag length selection.

For example, here is what is available:

gnp <- na.omit(nporg[, "gnp.r"])
ers.gnp <- ur.ers(gnp, type="DF-GLS", model="const", lag.max=4)
summary(ers.gnp)

I am after something like:

gnp <- na.omit(nporg[, "gnp.r"])
ers.gnp <- ur.ers(gnp, type="DF-GLS", model="const", lag.max="HQIC")
summary(ers.gnp)

Aim is to get something like following produced in Eviews:

enter image description here

Any help in this regard is much appreciated.

Mubashir

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