selection.lag: The model selection for pseudo-ARX function

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

Description

This function allows you to calculate AIC, BIC, HQ for pseudo-ARX models.

Usage

selection.lag(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

bic	Vector containing values BIC for p=0 up to p_max.
aic	Vector containing values AIC for p=0 up to p_max.
hq	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)
selection.lag(data$y,data$x,8)

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