dse: bestTSestModel – R documentation

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dse

bestTSestModel

Select Best Model

Description

Select the best model.

Usage

bestTSestModel(models, sample.start=10, sample.end=NULL,
     criterion='aic', verbose=TRUE)

Arguments

`models`	a list of TSestModels.
`sample.start`	the starting point to use for calculating information criteria.
`sample.end`	the end point to use for calculating information criteria.
`criterion`	Criterion to be used for model selection. see `informationTestsCalculations`. 'taic' would be a better default but this is not available for VAR and ARMA models.
`verbose`	if TRUE then additional information is printed.

Details

Information criteria are calculated and return the best model from ... according to criterion models should be a list of TSestModel's. models[[i]]$estimates$pred is not recalculated but a sub-sample identified by sample.start and sample.end is used and the likelihood is recalculated. If sample.end=NULL data is used to the end of the sample. taic might be a better default selection criteria but it is not available for ARMA models.

Value

A TSestModel

Examples

data("eg1.DSE.data.diff", package="dse")
models <- list(estVARXls(eg1.DSE.data.diff), estVARXar(eg1.DSE.data.diff))
z <-  bestTSestModel(models)

dse

Dynamic Systems Estimation (Time Series Package)

v2020.2-1

GPL-2

Authors

Paul Gilbert <pgilbert.ttv9z@ncf.ca>

Initial release