bigtime (version 0.2.3)

get_ic_vals.bigtime.VAR: Calculates the Information Criteria for a model estimated using sparseVAR

Description

The number of non-zero coefficients are taken as the degrees of freedom.

Usage

# S3 method for bigtime.VAR
get_ic_vals(mod, verbose = TRUE)

Value

Returns a list containing

ics

Values of the ICs for all lambdas

mins

Which IC lead to the minimum (the row number)

selected_lambdas

Which lambdas were selected

Arguments

mod

Model estimated using sparseVAR

verbose

Should information about the optimal selection be printed?

Examples

dat <- simVAR(periods = 200, k=2, p=5, decay = 0.01)
mod <- sparseVAR(Y=scale(dat$Y))
ics <- get_ic_vals(mod)