get_ic_vals {bigtime}R Documentation

Calculates the Information Criteria for a VAR, VARX, VARMA model

Description

The number of non-zero coefficients are taken as the degrees of freedom. Use with care for VARMA.

Usage

get_ic_vals(mod, verbose = TRUE)

Arguments

mod

Model estimated Model estimated using sparseVAR, sparseVARX, or sparseVARMA

verbose

Should information about the optimal selection be printed?

Examples

dat <- simVAR(periods=200, k=2, p=5, decay = 0.01)
mod <- sparseVAR(Y=scale(dat$Y))
ics <- get_ic_vals(mod)

[Package bigtime version 0.2.1 Index]