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=T)

Arguments

models A list of TSestModels.
sample.start The starting point to use for calculating information criteria.
criteria

{The selection criteria. 'taic' would be a better choice but this is not available for VAR and ARMA models.}

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

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)