AIC, HQ, or SC can be used
VAR.select(x, type = "const", ic = "aic", pmax)
Values of information criterion for VAR models
AR order selected
data matrix in column
"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend
choose one of "aic", "sc", "hq"
the maximum VAR order
JAe H. Kim
Order Section Criterion
Lutkepohl, H. 2005, New Introduction to Multiple Time Series Analysis, Springer
data(dat) #replicating Section 4.3.1 of Lutkepohl (2005) VAR.select(dat,pmax=4,ic="aic")
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