var.lag.specification: Automated VAR lag specification testing

In MSBVAR: Markov-Switching, Bayesian, Vector Autoregression Models

Description

Estimates a series of test statistics and measures for VAR lag length selection.

Usage

var.lag.specification(y, lagmax = 20)

Arguments

y	T x m multiple time series
lagmax	Maximum lag order to be evaluated. Function will return lag length tests for all lag orders less than lagmax.

Details

Estimates a series of frequentist VAR models for 1 to lagmax and returns a sequence of Chi2 tests, AIC, BIC and Hannan-Quinn criterion values for each lag length.

Value

Results are printed to standard output (screen or file). In addition, a list of two matrices is returned:

ldets	Lag length, log-determinants, Chi2 tests, and p-values for each lag length, compared to the null of the next shorter lag length
results	Lag length, AIC, BIC, and HQ criteria for each lag length. Selection criteria should be minimized.

Note

Sizes of p-values are uncorrected for multiple testing. Use cautiously.

Author(s)

Patrick T. Brandt

References

Lutkepohl, Helmut 2004."Vector Autoregressive and Vector Error Correction Models", Chapter 3. In Applied Time Series Econometrics. Lutkepohl,, Helmut and Markus Kratzig eds. Cambridge: CUP.

See Also

See Also reduced.form.var for frequentist VAR estimation, szbvar for Bayesian VAR estimation, and szbsvar for Bayesian Structural VAR estimation.

Examples

    data(IsraelPalestineConflict)
    var.lag.specification(IsraelPalestineConflict, lagmax=12)

Example output

##
## MSBVAR Package v.0.9-2
## Build date:  Sun May  5 22:40:32 2019 
## Copyright (C) 2005-2019, Patrick T. Brandt
## Written by Patrick T. Brandt
##
## Support provided by the U.S. National Science Foundation
## (Grants SES-0351179, SES-0351205, SES-0540816, and SES-0921051)
##

$ldets
      Lags  Log-Det     Chi^2      p-value
 [1,]   12 14.42236  25.75646 3.543159e-05
 [2,]   11 14.44312  61.41818 1.460165e-12
 [3,]   10 14.49253  35.11972 4.389590e-07
 [4,]    9 14.52074  34.82561 5.044691e-07
 [5,]    8 14.54866  10.75641 2.944244e-02
 [6,]    7 14.55728  24.61557 6.010392e-05
 [7,]    6 14.57695  26.53349 2.469740e-05
 [8,]    5 14.59813  46.58939 1.856753e-09
 [9,]    4 14.63525  70.54571 1.743050e-14
[10,]    3 14.69137  88.95098 0.000000e+00
[11,]    2 14.76203 128.98731 0.000000e+00
[12,]    1 14.86431   0.00000 0.000000e+00

$results
      Lags      AIC      BIC       HQ
 [1,]    1 14.87379 14.89817 14.88295
 [2,]    2 14.77782 14.81845 14.79309
 [3,]    3 14.71349 14.77037 14.73486
 [4,]    4 14.66369 14.73682 14.69116
 [5,]    5 14.63288 14.72227 14.66646
 [6,]    6 14.61803 14.72366 14.65771
 [7,]    7 14.60467 14.72656 14.65046
 [8,]    8 14.60238 14.74051 14.65427
 [9,]    9 14.58077 14.73516 14.63877
[10,]   10 14.55888 14.72952 14.62299
[11,]   11 14.51579 14.70268 14.58600
[12,]   12 14.50135 14.70449 14.57767

attr(,"class")
[1] "var.lag.specification"

MSBVAR documentation built on May 30, 2017, 1:23 a.m.