AicBic {multibreakeR}

AicBic

Description

Compute the AIC and BIC criteria for lags from 1 to q.max

Usage

AicBic(mat.y, q.max, mat.x = NULL, trend = FALSE, intercept = TRUE)

Arguments

mat.y

A matrix object of time series

q.max

The maximum lag considered

mat.x

An optional matrix of covariates

trend

If a trend is considered (default to false)

intercept

If the test is on the intercept (default to true)

Value

A data frame object that contains all AIC (first row) and BIC (second row) for all the q.max lags tested.

Examples

data(example_data)
aic.bic <- AicBic(mat.y = example_data,
 q.max = 2,
  trend = FALSE,
   intercept = TRUE)