See function VARselect() in package vars which computes AIC and BC for
each lag
function ar() also computed VAR models with automatic selection of lags
Mat
First of all, I was not aware of the RSiteSearch function. Cool. Thanks
for that.
That having been said, I could not find anything here that helps with
optimal lag selection.
I can see:
- grangertest,
- granger.test and
- the causality functions which actually implement the tests, but nothing
which helps with
To be fair, I had already found these, and am currently using granger.test
(tho causality looks interest too, which I hadn't seen before...).
I did try things like:
RSiteSearch("Granger Causality optimal leg")
RSiteSearch("Causality optimal leg")
RSiteSearch("optimal leg")
and variants but nothing.
Anyway, if anyone has any pointers, would be most appreciated.
Still, that is a cool function, thanks for pointing it out Thierry.
Tolga
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