informCrit

<p>a list of VAR objects as from fitVAR.</p>

<p>This function computes information criteria (AIC, Schwartz and
Hannan-Quinn) for VARs.</p>

A wrapper for sparse VAR/VECM time series models estimation
using penalties like ENET (Elastic Net), SCAD (Smoothly Clipped
Absolute Deviation) and MCP (Minimax Concave Penalty).
Based on the work of Sumanta Basu and George Michailidis
<doi:10.1214/15-AOS1315>.

Simone Vazzoler

informCrit: Computes information criteria for VARs

Description

Usage

Arguments