HQ {bvhar}

Hannan-Quinn Criterion

Description

Generic function that computes HQ criterion.

Usage

HQ(object, ...)

## S3 method for class 'logLik'
HQ(object, ...)

Arguments

object

Model fit

...

not used

Details

The formula is

HQ = -2 \log p(y \mid \hat\theta) + k \log\log(n)

whic can be computed by AIC(object, ..., k = 2 * log(log(nobs(object)))) with stats::AIC().

Value

HQ value.

References

Hannan, E.J. and Quinn, B.G. (1979). The Determination of the Order of an Autoregression. Journal of the Royal Statistical Society: Series B (Methodological), 41: 190-195.