VARorder {MTS}

VAR Order Specification

Description

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

Usage

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.

Value

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

Author(s)

Ruey S. Tsay

References

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

See Also

VARorderI

Examples

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