micvar

cranv0.1.0

Order Selection in Vector Autoregression by Mean Square Information Criteria. Implements order selection for Vector Autoregressive (VAR) models using the Mean Square Information Criterion (MIC). Unlike standard methods such as AIC and BIC, MIC is likelihood-free. This method consistently estimates VAR order and has robust performance under model misspecification. For more det

License GPL (>= 3)0 versions1 maintainers4 deps49 weekly dl
https://CRAN.R-project.org/package=micvar
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MASSmatrixcalcRdpackstats
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First published · 2025-12-11 11:39:39

Last updated · 2025-12-08T07:10:10+00:00