MARX (version 0.2)

aic: The Akaike information criterion (AIC) function

Description

This function allows you to calculate the Akaike information criteria (AIC) for ARX models.

Usage

aic(y, x, p_max)

Arguments

y

Data vector of time series observations.

x

Matrix of data (every column represents one time series). Specify NULL or "not" if not wanted.

p_max

Maximum number of autoregressive terms to be included.

Value

p

Lag order chosen by AIC.

values

Vector containing values AIC for p = 0 up to p_max.

Examples

# NOT RUN {
data <- sim.marx(c('t',1,1), c('t',1,1),100,0.5,0.4,0.3)
aic(data$y, data$x,8)
# }