VAR.select: Order Selection for VAR models

In VAR.etp: VAR Modelling: Estimation, Testing, and Prediction

Order Selection for VAR models

Description

AIC, HQ, or SC can be used

Usage

VAR.select(x, type = "const", ic = "aic", pmax)

Arguments

x	data matrix in column
type	"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend
ic	choose one of "aic", "sc", "hq"
pmax	the maximum VAR order

Details

Order Section Criterion

Value

IC	Values of information criterion for VAR models
p	AR order selected

Note

See Chapter 4 of Lutkepohl

Author(s)

JAe H. Kim

References

Lutkepohl, H. 2005, New Introduction to Multiple Time Series Analysis, Springer

Examples

data(dat)
#replicating Section 4.3.1 of Lutkepohl (2005)
VAR.select(dat,pmax=4,ic="aic")

VAR.etp documentation built on Aug. 31, 2023, 9:08 a.m.