var.lag.specification: 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.
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.
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.
References
Lutkepohl, Helmut 2004."Vector Autoregressive and Vector Error
Correction Models", Chapter 3. In Applied Time Series
Econometrics. Lutkepohl,, Helmut and Markus Kratzig 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.