Order Selection in Vector Autoregression by Mean Square
Information Criteria
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Documentation for package ‘micvar’ version 0.1.0
Help Pages
| gen_coef_mat | Simulate coefficient matrices with specified density |
| micvar | Estimate order by mean square information criteria (MIC) |
| sim_var | Simulate data from a vector autoregressive model with specified coefficient matrices |
| verify_stability | Verify stability of a vector autoregressive model |