VARorderI function

VAR order specification I

This program is similar to VARorder, but it uses observations from t=p+1 to T to compute the information criteria for a given VAR(p) model.

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

Arguments

• x: A T-by-k data matrix of vector time series
• maxp: The maximum VAR order entertained
• output: A logical switch to control output

Details

For a given VAR(p) model, the program uses observations from t=p+1 to T to compute the information criteria. Therefore, different numbers of data points are used to estimate different VAR models.

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

• Mstat: Step-wise Chi-square statistics

• Mpv: p-values of the M-statistics

References

Tsay (2014)

Author(s)

Ruey S Tsay

See Also

VARorder