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:
Any help in this regard is much appreciated.
Mubashir