Description Usage Arguments Details Value Author(s) Examples
This interface-based function allows you to perform model selection for MARX models based on information criteria.
1 | marx(y, x, p_max, sig_level, p_C, p_NC)
|
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 parameters (leads + lags) to be included. |
sig_level |
Significance level for the construction of inference. |
p_C |
Number of lags (if not specified by the user a model selection procedure is used to determine the number of lags). |
p_NC |
Number of leads (if not specified by the user a model selection procedure is used to determine the number of leads). |
Mixed causal-noncausal autoregressions with exogenous regressors.
The function returns the values of the information criteria for the pseudo-causal models. The user is asked to choose a value for "p". Extensive output for the MARX(r,s,q) model (with p = r + s) which maximizes the log-likelihood is reported.
Sean Telg
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