MARX (version 0.2)

selection.lag: The model selection for pseudo-ARX function

Description

This function allows you to calculate AIC, BIC, HQ for pseudo-ARX models.

Usage

selection.lag(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

bic

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

aic

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

hq

vector containing values HQ 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)
selection.lag(data$y,data$x,8)
# }