VARselect(vars)
VARselect()所属R语言包：vars
Information criteria and FPE for different VAR(p)
信息标准和FPE不同的VAR（P）
译者：生物统计家园网 机器人LoveR
描述----------Description----------
The function returns infomation criteria and final prediction error for sequential increasing the lag order up to a VAR(p)-proccess. which are based on the same sample size.
该函数返回INFOMATION标准和最终的预测误差，用于顺序增加滞后阶一个VAR（β）-工程案例。这是基于相同的样本大小。
用法----------Usage----------
VARselect(y, lag.max = 10, type = c("const", "trend", "both", "none"),
season = NULL, exogen = NULL)
参数----------Arguments----------
参数：y
Data item containing the endogenous variables
数据项包含的内生变量
参数：lag.max
Integer for the highest lag order (default is lag.max = 10).
整数的最高滞后阶数（默认值是lag.max = 10）。
参数：type
Type of deterministic regressors to include.
确定性回归量包括的类型。
参数：season
Inlusion of centered seasonal dummy variables (integer value of frequency).
Inlusion中心的季节虚拟变量（整数的频率值）。
参数：exogen
Inlusion of exogenous variables.
的外生变量Inlusion。
Details
详细信息----------Details----------
Estimates a VAR by OLS per equation. The model is of the following form:
每个方程的OLS估计的VAR。该模型是以下形式：
where \bold{y}_t is a K \times 1 vector of endogenous variables and u_t assigns a spherical disturbance term of the same dimension. The coefficient matrices A_1, …, A_p are of dimension K \times K. In addition, either a constant and/or a trend can be included as deterministic regressors as well as centered seasonal dummy variables and/or exogenous variables (term CD_T, by setting the type argument to the corresponding value and/or setting season to the desired frequency (integer) and/or providing a matrix object for exogen, respectively. The default for type is const and for season and exogen the default is set to NULL.<br> Based on the same sample size the following information criteria and the final prediction error are computed:
其中\bold{y}_t是K \times 1向量的内生变量和u_t分配一个相同尺寸的球形扰动项。的系数矩阵A_1, …, A_p是的尺寸K \times K。此外，无论是常数和/或趋势可以作为确定性回归量以及中心的季节虚拟变量和/或外生变量（CD_T，type参数，通过设置相应的值和/或设置season想要的频率（整数）和/或提供exogen，分别为矩阵对象。type默认为const和season和exogenNULL。<BR>基于以下信息标准和最终预报误差计算相同的样本量，默认的设置：
with \tilde{Σ}_u (n) = T^{-1} ∑_{t=1}^T \bold{\hat{u}}_t \bold{\hat{u}}_t' and n^* is the total number of the parameters in each equation and n assigns the lag order.
\tilde{Σ}_u (n) = T^{-1} ∑_{t=1}^T \bold{\hat{u}}_t \bold{\hat{u}}_t'和n^*的总数量在每个方程中的参数和n分配滞后阶数。
值----------Value----------
A list with the following elements:<br>
列表包含下列元素：参考
参数：selection
Vector with the optimal lag number according to each criterium.
向量的最优滞后根据每个绕圈数。
参数：criteria
A matrix containing the values of the criteria up to lag.max.
矩阵包含值的标准lag.max。
（作者）----------Author(s)----------
Bernhard Pfaff
参考文献----------References----------
Annals of the Institute of Statistical Mathematics, 21: 243-247.
Annals of the Institute of Statistical Mathematics, 23: 163-180.
likelihood principle, in B. N. Petrov and F. Cs谩ki (eds.), 2nd International Symposium on Information Theory, Acad茅mia Kiad贸, Budapest, pp. 267-281.
<acronym><code>IEEE</code></acronym> Transactions on Automatic Control, AC-19: 716-723.
University Press, Princeton.
of an autoregression, Journal of the Royal Statistical Society, B41: 190-195.
Analysis, Springer, New York.
autoregression, Journal of the Royal Statistical Society, B42: 182-185.
of Statistics, 6: 461-464.
参见----------See Also----------
VAR
VAR
实例----------Examples----------
data(Canada)
VARselect(Canada, lag.max = 5, type="const")
转载请注明:出自 生物统计家园网(http://www.biostatistic.net)。
注：
注1：为了方便大家学习，本文档为生物统计家园网机器人LoveR翻译而成，仅供个人R语言学习参考使用，生物统计家园保留版权。
注2：由于是机器人自动翻译，难免有不准确之处，使用时仔细对照中、英文内容进行反复理解，可以帮助R语言的学习。
注3：如遇到不准确之处，请在本贴的后面进行回帖，我们会逐渐进行修订。
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发表于 2012-10-1 14:30:19
