MSBVAR (version 0.2.2)

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)

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 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 $\chi^2$ 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 Krtzig 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)