VARXorder: VARX Order Specification
In d-/MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models
VARXorder R Documentation
VARX Order Specification
Description
Specifies the orders of a VARX model, including AR order
and the number of lags of exogenous variables
Usage
VARXorder(x, exog, maxp = 13, maxm = 3, output = T)
Arguments
x
A T-by-k data matrix of a k-dimensional time series
exog
A T-by-v data matrix of exogenous variables
maxp
The maximum VAR order entertained
maxm
The maximum lags of exogenous variables entertained
output
A logical switch to control output
Details
Computes the information criteria of a VARX process
Value
aic
Akaike information criterion
aicor
Order selected by AIC
bic
Bayesian information criterion
bicor
Order selected by BIC
hq
Hannan and Quinn information criterion
hqor
Order selected by hq
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 6). Multivariate Time Series Analysis with R
and Financial Applications. John Wiley. Hoboken, NJ.
d-/MTS documentation built on June 12, 2022, 12:50 a.m.
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| VARXorder | R Documentation |
VARX Order Specification
Description
Specifies the orders of a VARX model, including AR order and the number of lags of exogenous variables
Usage
VARXorder(x, exog, maxp = 13, maxm = 3, output = T)
Arguments
x |
A T-by-k data matrix of a k-dimensional time series |
exog |
A T-by-v data matrix of exogenous variables |
maxp |
The maximum VAR order entertained |
maxm |
The maximum lags of exogenous variables entertained |
output |
A logical switch to control output |
Details
Computes the information criteria of a VARX process
Value
aic |
Akaike information criterion |
aicor |
Order selected by AIC |
bic |
Bayesian information criterion |
bicor |
Order selected by BIC |
hq |
Hannan and Quinn information criterion |
hqor |
Order selected by hq |
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 6). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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