informationTestsCalculations {dse} | R Documentation |
Calculates several model selection criteria.
informationTestsCalculations(lst, sample.start=1,sample.end=NULL, warn=TRUE)
lst |
One or more objects of class TSestModel. |
sample.start |
The start of the period to use for criteria calculations. |
sample.end |
The end of the period to use for criteria calculations. If omitted the end of the sample is used. |
warn |
If FALSE then some warning messages are suppressed. |
The calculated values are returned in a vector with names: port, like,
aic, bic, gvc, rice, fpe, taic, tbic, tgvc, trice and tfpe. These
correspond to values for the Portmanteau test, likelihood,
Akaike Information Criterion, Bayes Information Criterion,
Generalized Cross Validation, Rice Criterion, and Final Prediction Error.
The preceeding 't' indicates that the theoretical parameter space
dimension has been used, rather than the number of
coefficient (parameter) values. Methods which select a model based on some
information criterion calculated by informationTestsCalculations
should use the name of the vector element to specify the test value which
is to be used.
data("eg1.DSE.data.diff", package="dse")
model <- estVARXls(eg1.DSE.data.diff)
informationTestsCalculations(model)