select_lags_ic: Lag Selection via Information Criteria

In rbfmvar: Residual-Based Fully Modified Vector Autoregression

Lag Selection via Information Criteria

Description

Selects the optimal VAR lag order using information criteria (AIC, BIC, or HQ).

Usage

select_lags_ic(data, max_lags, ic = "aic")

Arguments

data	Data matrix (T x n).
max_lags	Maximum lag order to consider.
ic	Information criterion: "aic", "bic", or "hq".

Value

A list containing:

best_p

Optimal lag order.

ic_table

Data frame of IC values for each lag.

References

Akaike, H. (1974). A New Look at the Statistical Model Identification. IEEE Transactions on Automatic Control, 19(6), 716-723. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1109/TAC.1974.1100705")}

Schwarz, G. (1978). Estimating the Dimension of a Model. The Annals of Statistics, 6(2), 461-464. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1214/aos/1176344136")}

Hannan, E. J., & Quinn, B. G. (1979). The Determination of the Order of an Autoregression. Journal of the Royal Statistical Society: Series B, 41(2), 190-195. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1111/j.2517-6161.1979.tb01072.x")}

rbfmvar documentation built on April 9, 2026, 9:08 a.m.