VARXorder function

VARX Order Specification

Specifies the orders of a VARX model, including AR order and the number of lags of exogenous variables

VARXorder(x, exog, maxp = 13, maxm = 3, output = T)

Arguments

• x: A T-by-k data matrix of a k-dimensional time series
• exog: A T-by-v data matrix of exogenous variables
• maxp: The maximum VAR order entertained
• maxm: The maximum lags of exogenous variables entertained
• output: A logical switch to control output

Details

Computes the information criteria of a VARX process

Returns

• aic: Akaike information criterion

• aicor: Order selected by AIC

• bic: Bayesian information criterion

• bicor: Order selected by BIC

• hq: Hannan and Quinn information criterion

• hqor: Order selected by hq

References

Tsay (2014, Chapter 6). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Author(s)

Ruey S. Tsay