Choose the Best VAR based on Information Criteria

This function computes AIC, FPE, BIC, and HQ up to p = lag_max of VAR model.

Usage

choose_var(y, lag_max = 5, include_mean = TRUE, parallel = FALSE)

Arguments

y

Time series data of which columns indicate the variables

lag_max

Maximum Var lag to explore (default = 5)

include_mean

Add constant term (Default: TRUE) or not (FALSE)

parallel

Parallel computation using foreach::foreach()? By default, FALSE.

Value

Minimum order and information criteria values