VAR.etp (version 0.7)

VAR.select: Order Selection for VAR models

Description

AIC, HQ, or SC can be used

Usage

VAR.select(x, type = "const", ic = "aic", pmax)

Arguments

x

data matrix in column

type

"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend

ic

choose one of "aic", "sc", "hq"

pmax

the maximum VAR order

Value

IC

Values of information criterion for VAR models

p

AR order selected

Details

Order Section Criterion

References

Lutkepohl, H. 2005, New Introduction to Multiple Time Series Analysis, Springer

Examples

data(dat)
#replicating Section 4.3.1 of Lutkepohl (2005)
VAR.select(dat,pmax=4,ic="aic")