VARXorder: VARX Order Specification

In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

VARX Order Specification

Description

Specifies the orders of a VARX model, including AR order and the number of lags of exogenous variables

Usage

VARXorder(x, exog, maxp = 13, maxm = 3, output = T)

Arguments

x	A T-by-k data matrix of a k-dimensional time series
exog	A T-by-v data matrix of exogenous variables
maxp	The maximum VAR order entertained
maxm	The maximum lags of exogenous variables entertained
output	A logical switch to control output

Details

Computes the information criteria of a VARX process

Value

aic	Akaike information criterion
aicor	Order selected by AIC
bic	Bayesian information criterion
bicor	Order selected by BIC
hq	Hannan and Quinn information criterion
hqor	Order selected by hq

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 6). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

MTS documentation built on April 11, 2022, 5:07 p.m.