VAR.etp (version 1.0)

VAR.select: Order Selection for VAR models

Description

AIC, HQ, or SC can be used

Usage

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

Value

IC

Values of information criterion for VAR models

p

AR order selected

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

Author

JAe H. Kim

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")