ic_selection function

Selects the optimal penalty parameter using information criteria

ic_selection(mod, ic = c("bic", "aic", "hq"), verbose = FALSE)

Arguments

• mod: Model estimated Model estimated using sparseVAR, sparseVARX, or sparseVARMA
• ic: Which information criteria should be used. Must be one of "bic", "aic" or "hq"
• verbose: If true, some useful information will be printed during the process

Returns

Returns a model that uses the optimal penalty