VARorder function

VAR Order Specification

Computes information criteria and the sequential Chi-square statistics for a vector autoregressive process

VARorder(x, maxp = 13, output = T)

Arguments

• x: Data matrix of dimension T-by-k with T being the sample size and k the number of time series
• maxp: The maximum VAR order entertained. Default is 13.
• output: A logical switch to control the output. Default is to provide output

Details

For a given maxp, the command computes Akaike, Bayesian and Hannan-Quinn information criteria for various VAR models using the data from t=maxp+1 to T. It also computes the Tiao-Box sequential Chi-square statistics and their p-values.

Returns

• aic: Akaike information criterion

• bic: Bayesian information criterion

• hq: Hannan and Quinn information criterion

• aicor, bicor, hqor: Orders selected by various criteria

• Mstat: Chi-square test statistics

• Mpv: p-values of the Mstat

References

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

Author(s)

Ruey S. Tsay

See Also

VARorderI

Examples

data("mts-examples",package="MTS")
zt=diffM(log(qgdp[,3:5]))
VARorder(zt,maxp=8)