verify_stability

Stability is verified using the method the method on pages 14-17 of lutkepohl2005newmicvar. Specifically we generate the coefficient matrix for the VAR(1) representation of the process and check that all eigenvalues have modulus less than 1.

Implements order selection for Vector Autoregressive (VAR) models using the Mean Square Information Criterion (MIC). Unlike standard methods such as AIC and BIC, MIC is likelihood-free. This method consistently estimates VAR order and has robust performance under model misspecification. For more details, see Hellstern and Shojaie (2025) <doi:10.48550/arXiv.2511.19761>.

Michael Hellstern

micvar

Order Selection in Vector Autoregression by Mean Square
Information Criteria

verify_stability function

<dl><dt>A</dt>
<dd>List of coefficient matrices.</dd></dl>

Arguments

Verify stability of a vector autoregressive model — verify_stability

<dl>

<dt>A</dt>
<dd>List of coefficient matrices.</dd>

</dl>

verify_stability: Verify stability of a vector autoregressive model

Description

Usage

Value

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References

Examples