VARorderI: VAR order specification I

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

VAR order specification I

Description

This program is similar to VARorder, but it uses observations from t=p+1 to T to compute the information criteria for a given VAR(p) model.

Usage

VARorderI(x, maxp = 13, output = T)

Arguments

x	A T-by-k data matrix of vector time series
maxp	The maximum VAR order entertained
output	A logical switch to control output

Details

For a given VAR(p) model, the program uses observations from t=p+1 to T to compute the information criteria. Therefore, different numbers of data points are used to estimate different VAR models.

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
Mstat	Step-wise Chi-square statistics
Mpv	p-values of the M-statistics

Author(s)

Ruey S Tsay

References

Tsay (2014)

See Also

VARorder

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