choose_var {bvhar} | R Documentation |
Choose the Best VAR based on Information Criteria
Description
This function computes AIC, FPE, BIC, and HQ up to p = lag_max
of VAR model.
Usage
choose_var(y, lag_max = 5, include_mean = TRUE, parallel = FALSE)
Arguments
y |
Time series data of which columns indicate the variables |
lag_max |
Maximum Var lag to explore (default = 5) |
include_mean |
Add constant term (Default: |
parallel |
Parallel computation using |
Value
Minimum order and information criteria values
[Package bvhar version 2.0.1 Index]