VARXorder {MTS}

VARX Order Specification

Description

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

Usage

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

Value

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

Author(s)

Ruey S. Tsay

References

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