info.criterion

logl

method

Given a log-likelihood, the number of observations and the number of parameters,
the value of a chosen information criterion is computed

Statistical Models

Automated multi-path General-to-Specific (GETS) model selection of either an AR-X model with log-ARCH-X errors, or a log-ARCH-X model of the log-variance. The three main functions of the package are arx, getsm and getsv. The first function estimates an AR-X model with log-ARCH-X errors. The second function undertakes GETS model selection of the mean specification of an arx object, whereas the third function undertakes GETS model selection of the log-variance specification of an arx object.

info.criterion: Computes the the value of an information criterion

Description

Usage

Arguments

Value