VAR.select: Order Selection for VAR models

View source: R/VAR.select.R

VAR.selectR Documentation

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 July 2, 2022, 1:05 a.m.