MSBVAR (version 0.1.1)

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)

Value

Results are printed to standard output (screen or file). In addition, a list of two matrices is returned:ldetsLag length, log-determinants, $\chi^2$ tests, and p-values for each lag length, compared to the null of the next shorter lag lengthresultsLag length, AIC, BIC, and Scwarz criteria for each lag length

Details

Estimates a series of VAR models for 1 to lagmax and returns a sequence of $\chi^2$ tests, AIC, BIC and Schwarz criterion values for each lag length.

See Also

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

Examples

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