ic_selection {bigtime}

Selects the optimal penalty parameter using information criteria

Description

Selects the optimal penalty parameter using information criteria

Usage

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

Value

Returns a model that uses the optimal penalty