MSBVAR (version 0.9-2)

var.lag.specification: Automated VAR lag specification testing

Description

Estimates a series of test statistics and measures for VAR lag length selection.

Usage

var.lag.specification(y, lagmax = 20)

Arguments

y

T x m multiple time series

lagmax

Maximum lag order to be evaluated. Function will return lag length tests for all lag orders less than lagmax.

Value

Results are printed to standard output (screen or file). In addition, a list of two matrices is returned:

ldets

Lag length, log-determinants, $Chi2$ tests, and p-values for each lag length, compared to the null of the next shorter lag length

results

Lag length, AIC, BIC, and HQ criteria for each lag length. Selection criteria should be minimized.

Details

Estimates a series of frequentist VAR models for 1 to lagmax and returns a sequence of $Chi2$ tests, AIC, BIC and Hannan-Quinn criterion values for each lag length.

References

Lutkepohl, Helmut 2004."Vector Autoregressive and Vector Error Correction Models", Chapter 3. In Applied Time Series Econometrics. Lutkepohl,, Helmut and Markus Kratzig eds. Cambridge: CUP.

See Also

See Also reduced.form.var for frequentist VAR estimation, szbvar for Bayesian VAR estimation, and szbsvar for Bayesian Structural VAR estimation.

Examples

    data(IsraelPalestineConflict)
    var.lag.specification(IsraelPalestineConflict, lagmax=12)