auto.var: Fit best VAR model to multivariate time series
In santoscs/prevendo.inflacao.fatores.comuns: Prevendo Inflacao Com Modelo Fatores Comuns
Description
Usage
Arguments
Value
Description
Returns best ARIMA model according to either SC, HQ, AIC or FPE value.
The function conducts a search over possible model within the order
constraints provided.
Usage
1
Arguments
y
A multivariate time series
max.p
Determines the highest lag order for lag length selection
according to the choosen ic.
ic
Information criterion to be used in model selection.
seasonal
If FALSE, restricts search to models without
seasonal dummies.
Value
A list with class attribute 'autovar' holding the following elements:
fit
modelo estimado da class varest.
d
ordem de diferenciacao das series.
y
series das variaveis originais.
x
series das variaveis diferenciadas d vezes.
ic
criterios de informacao do modelo selecionado.
santoscs/prevendo.inflacao.fatores.comuns documentation built on May 29, 2019, 1:49 p.m.
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Description Usage Arguments Value
Description
Returns best ARIMA model according to either SC, HQ, AIC or FPE value. The function conducts a search over possible model within the order constraints provided.
Usage
1 |
Arguments
y |
A multivariate time series |
max.p |
Determines the highest lag order for lag length selection according to the choosen ic. |
ic |
Information criterion to be used in model selection. |
seasonal |
If FALSE, restricts search to models without seasonal dummies. |
Value
A list with class attribute 'autovar' holding the following elements:
|
modelo estimado da class |
|
ordem de diferenciacao das series. |
|
series das variaveis originais. |
|
series das variaveis diferenciadas |
|
criterios de informacao do modelo selecionado. |
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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