Select AR lag order by SIC (BIC)

Selects the lag order for an autoregressive model of the horizon-h target \(y_{t,h}\) by minimising the Schwarz Information Criterion.

Usage

select_ar_lag_sic(y, h, p_max)

Arguments

y

Numeric vector of the target variable.

h

Positive integer; forecast horizon. For h = 1 the target is simply y.

p_max

Maximum lag order to consider. The function evaluates p = 0, 1, ..., p_max.

Value

Integer: selected lag order. A value of 0 means the intercept-only model is preferred.

Examples

y <- rnorm(200)
select_ar_lag_sic(y, h = 1, p_max = 4)
#> [1] 1