var.lag.specification {MSBVAR}R Documentation

Automated VAR lag specification testing

Description

Estimates a series of test statistics and measures for VAR lag length selection.

Usage

var.lag.specification(y, lagmax = 20)

Arguments

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.

Details

Estimates a series of frequentist VAR models for 1 to lagmax and returns a sequence of Chi2 tests, AIC, BIC and Hannan-Quinn criterion values for each lag length.

Value

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 HQ criteria for each lag length. Selection criteria should be minimized.

Note

Sizes of p-values are uncorrected for multiple testing. Use cautiously.

Author(s)

Patrick T. Brandt

References

Lutkepohl, Helmut 2004."Vector Autoregressive and Vector Error Correction Models", Chapter 3. In Applied Time Series Econometrics. Lutkepohl,, Helmut and Markus Krtzig eds. Cambridge: CUP.

See Also

See Also reduced.form.var for frequentist VAR estimation, szbvar for Bayesian VAR estimation, and szbsvar for Bayesian Structural VAR estimation.

Examples

    data(IsraelPalestineConflict)
    var.lag.specification(IsraelPalestineConflict, lagmax=12)

[Package MSBVAR version 0.3.2 Index]