hq: The Hannan-Quinn (HQ) information criterion function

In MARX: Simulation, Estimation, Model Selection and Forecasting for MARX Models

Description

This function allows you to calculate the Hannan-Quinn (HQ) information criteria for ARX models.

Usage

hq(y, x, p_max)

Arguments

y	Data vector of time series observations.
x	Matrix of data (every column represents one time series). Specify NULL or "not" if not wanted.
p_max	Maximum number of autoregressive terms to be included.

Value

p	Lag order chosen by HQ.
values	Vector containing values HQ for p = 0 up to p_max.

Author(s)

Sean Telg

Examples

data <- sim.marx(c('t',1,1), c('t',1,1),100,0.5,0.4,0.3)
hq(data$y, data$x,8)

Example output

$p
[1] 1

$values
       p = 0    p = 1    p = 2    p = 3   p = 4    p = 5   p = 6    p = 7
[1,] 11.3238 10.52276 10.53582 10.57094 10.6042 10.63741 10.6701 10.71137
        p = 8
[1,] 10.73997

MARX documentation built on May 2, 2019, 3:42 a.m.