VARorderI {MTS}

VAR order specification I

Description

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.

Usage

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.

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

Mstat

Step-wise Chi-square statistics

Mpv

p-values of the M-statistics

Author(s)

Ruey S Tsay

References

Tsay (2014)

See Also

VARorder