How to estimate the optimal number of lags in VAR models from the data?
31 Ansichten (letzte 30 Tage)
Ältere Kommentare anzeigen
Armando MAROZZI
am 31 Mär. 2020
Kommentiert: Armando MAROZZI
am 9 Jun. 2020
I am fitting a VAR model and I was wondering which commands (if any) in MATLAB calculates the optimal number of lags given the sample data. All the documentation I find online is on how to do it after the fitted model, I would like to get it before, calculated on my data - a similar function in R is called VARselect. Is there anything similar in MATLAB?
Thanks
0 Kommentare
Akzeptierte Antwort
azim
am 9 Jun. 2020
hi,
i dont think there is a built in function for that but you can choose using aic and bic criteria. please follow the example on the following link:
mathworks.com/help/econ/aicbic.html
hope this helps
Weitere Antworten (0)
Siehe auch
Kategorien
Mehr zu Conditional Mean Models finden Sie in Help Center und File Exchange
Produkte
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!