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 details, see Hellstern and Shojaie (2025) <doi:10.48550/arXiv.2511.19761>.
| Version: | 0.1.0 |
| Imports: | MASS, matrixcalc, Rdpack, stats |
| Published: | 2025-12-08 |
| DOI: | 10.32614/CRAN.package.micvar |
| Author: | Michael Hellstern [aut, cre] |
| Maintainer: | Michael Hellstern <mikeh1 at uw.edu> |
| License: | GPL (≥ 3) |
| NeedsCompilation: | no |
| CRAN checks: | micvar results |
| Reference manual: | micvar.html , micvar.pdf |
| Package source: | micvar_0.1.0.tar.gz |
| Windows binaries: | r-devel: micvar_0.1.0.zip, r-release: micvar_0.1.0.zip, r-oldrel: micvar_0.1.0.zip |
| macOS binaries: | r-release (arm64): micvar_0.1.0.tgz, r-oldrel (arm64): micvar_0.1.0.tgz, r-release (x86_64): micvar_0.1.0.tgz, r-oldrel (x86_64): micvar_0.1.0.tgz |
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