get_var_lagcrit: Computes AICc, AIC and BIC for VAR

In lpirfs: Local Projections Impulse Response Functions

Computes AICc, AIC and BIC for VAR

Description

Computes AICc, AIC and BIC for VAR models.

Usage

get_var_lagcrit(endog_data, specs = NULL)

Arguments

endog_data	A data.frame with endogenous variables for the VAR
specs	A list created in lp_lin

Value

A list with lag length criteria

References

Akaike, H. (1974). "A new look at the statistical model identification", IEEE Transactions on Automatic Control, 19 (6): 716–723.

Hamilton, J. D. (1994). "Time Series Analysis." Princeton: Princeton University Press.

Hurvich, C. M., and Tsai, C.-L. (1989), "Regression and time series model selection in small samples", Biometrika, 76(2): 297–307

Lütkepohl, H. (2005). "New Introduction to Multiple Time Series Analysis.", New York: Springer.

Schwarz, Gideon E. (1978). "Estimating the dimension of a model", Annals of Statistics, 6 (2): 461–464.

lpirfs documentation built on July 9, 2023, 6:35 p.m.