informationTestsCalculations: Calculate selection criteria

In dse: Dynamic Systems Estimation (Time Series Package)

Description

Calculates several model selection criteria.

Usage

    informationTestsCalculations(lst, sample.start=1,sample.end=NULL, warn=TRUE)

Arguments

lst	One or more objects of class TSestModel.
sample.start	The start of the period to use for criteria calculations.
sample.end	The end of the period to use for criteria calculations. If omitted the end of the sample is used.
warn	If FALSE then some warning messages are suppressed.

Value

The calculated values are returned in a vector with names: port, like, aic, bic, gvc, rice, fpe, taic, tbic, tgvc, trice and tfpe. These correspond to values for the Portmanteau test, likelihood, Akaike Information Criterion, Bayes Information Criterion, Generalized Cross Validation, Rice Criterion, and Final Prediction Error. The preceeding 't' indicates that the theoretical parameter space dimension has been used, rather than the number of coefficient (parameter) values. Methods which select a model based on some information criterion calculated by informationTestsCalculations should use the name of the vector element to specify the test value which is to be used.

See Also

informationTests

Examples

    data("eg1.DSE.data.diff", package="dse")
    model <- estVARXls(eg1.DSE.data.diff)
    informationTestsCalculations(model)

dse documentation built on March 4, 2020, 3:01 a.m.