best.TSestModel {dse2}R Documentation

Select Best Model

Description

Select the best model.

Usage

    best.TSestModel(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 information.tests.calculations. '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 the best model returned.

Value

A TSestModel

See Also

est.black.box1, est.black.box2 est.black.box3 est.black.box4 information.tests.calculations

Examples

if(is.R()) data("eg1.DSE.data.diff", package="dse1")
models <- list(est.VARX.ls(eg1.DSE.data.diff), est.VARX.ar(eg1.DSE.data.diff))
z <-  best.TSestModel(models)
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