choose_var: Choose the Best VAR based on Information Criteria

In bvhar: Bayesian Vector Heterogeneous Autoregressive Modeling

Choose the Best VAR based on Information Criteria

Description

This function computes AIC, FPE, BIC, and HQ up to p = lag_max of VAR model.

Usage

choose_var(y, lag_max = 5, include_mean = TRUE, parallel = FALSE)

Arguments

y	Time series data of which columns indicate the variables
lag_max	Maximum Var lag to explore (default = 5)
include_mean	Add constant term (Default: TRUE) or not (FALSE)
parallel	Parallel computation using foreach::foreach()? By default, FALSE.

Value

Minimum order and information criteria values

bvhar documentation built on April 4, 2025, 5:22 a.m.