var.lag.specification {MSBVAR} | R Documentation |
Estimates a series of test statistics and measures for VAR lag length selection.
var.lag.specification(y, lagmax = 20)
y |
T x m multiple time series |
lagmax |
Maximum lag order to be evaluated. Function will return lag length tests for all lag orders less than lagmax. |
Estimates a series of VAR models for 1 to lagmax and returns a sequence of Chi2 tests, AIC, BIC and Schwarz criterion values for each lag length.
Results are printed to standard output (screen or file). In addition, a list of two matrices is returned:
ldets |
Lag length, log-determinants, Chi2 tests, and p-values for each lag length, compared to the null of the next shorter lag length |
results |
Lag length, AIC, BIC, and Scwarz criteria for each lag length |
Sizes of p-values are uncorrected for multiple testing. Use cautiously.
Patrick T. Brandt
See Also reduced.form.var
for frequentist VAR estimation
and szbvar
for Bayesian VAR estimation.
data(IsraelPalestineConflict) var.lag.specification(IsraelPalestineConflict, lagmax=12)