inform_crit

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

A wrapper for sparse VAR (Vector Autoregression) and
VECM (Vector Error Correction Model) 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 Basu and Michailidis (2015)
<doi:10.1214/15-AOS1315>.

Simone Vazzoler

sparsevar

Sparse VAR (Vector Autoregression) / VECM (Vector Error
Correction Model) Estimation

inform_crit function

<dl><dt>v</dt>
<dd>a list of VAR objects as from fitVAR.</dd></dl>

Arguments

Computes information criteria for VARs — inform_crit

<dl>

<dt>v</dt>
<dd>a list of VAR objects as from fitVAR.</dd>

</dl>

inform_crit: Computes information criteria for VARs

Description

Usage

Value

Arguments