bestTSestModel: Select Best Model

In dse: Dynamic Systems Estimation (Time Series Package)

Description

Select the best model.

Usage

    bestTSestModel(models, sample.start=10, sample.end=NULL,
     criterion='aic', verbose=TRUE)

Arguments

models	a list of TSestModels.
sample.start	the starting point to use for calculating information criteria.
sample.end	the end point to use for calculating information criteria.
criterion	Criterion to be used for model selection. see informationTestsCalculations. 'taic' would be a better default but this is not available for VAR and ARMA models.
verbose	if TRUE then additional information is printed.

Details

Information criteria are calculated and return the best model from ... according to criterion models should be a list of TSestModel's. models[[i]]$estimates$pred is not recalculated but a sub-sample identified by sample.start and sample.end is used and the likelihood is recalculated. If sample.end=NULL data is used to the end of the sample. taic might be a better default selection criteria but it is not available for ARMA models.

Value

A TSestModel

See Also

estBlackBox1, estBlackBox2 estBlackBox3 estBlackBox4 informationTestsCalculations

Examples

data("eg1.DSE.data.diff", package="dse")
models <- list(estVARXls(eg1.DSE.data.diff), estVARXar(eg1.DSE.data.diff))
z <-  bestTSestModel(models)

dse documentation built on March 26, 2020, 7:12 p.m.