MTS: VARXorder – R documentation

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VARXorder

VARX Order Specification

Specifies the orders of a VARX model, including AR order and the number of lags of exogenous variables

VARXorder(x, exog, maxp = 13, maxm = 3, output = T)

`x`	A T-by-k data matrix of a k-dimensional time series
`exog`	A T-by-v data matrix of exogenous variables
`maxp`	The maximum VAR order entertained
`maxm`	The maximum lags of exogenous variables entertained
`output`	A logical switch to control output

Computes the information criteria of a VARX process

`aic`	Akaike information criterion
`aicor`	Order selected by AIC
`bic`	Bayesian information criterion
`bicor`	Order selected by BIC
`hq`	Hannan and Quinn information criterion
`hqor`	Order selected by hq

Ruey S. Tsay

Tsay (2014, Chapter 6). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

v1.0

Artistic License 2.0

Authors

Ruey S. Tsay and David Wood

Initial release

2018-10-8