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Oct 17th, 2017
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  1. df <- data.frame(x1 = rnorm(50), x2 = rnorm(50))
  2. model <- VARselect(df, exogen = cbind(x3 = rnorm(50)))
  3. model
  4.  
  5. $selection
  6. AIC(n) HQ(n) SC(n) FPE(n)
  7. 1 1 1 1
  8.  
  9. $criteria
  10. 1 2 3 4 5 6 7
  11. AIC(n) 0.3819556 0.5409510 0.5559532 0.6966488 0.7490992 0.721105 0.8037243
  12. HQ(n) 0.5040847 0.7241447 0.8002114 1.0019715 1.1154865 1.148557 1.2922407
  13. SC(n) 0.7197315 1.0476148 1.2315050 1.5410885 1.7624269 1.903321 2.1548279
  14. FPE(n) 1.4671137 1.7254929 1.7627647 2.0509437 2.1971864 2.187764 2.4554746
  15. 8 9 10
  16. AIC(n) 0.9664021 0.8381916 0.616336
  17. HQ(n) 1.5159831 1.4488371 1.288046
  18. SC(n) 2.4863936 2.5270711 2.474103
  19. FPE(n) 3.0198382 2.8162782 2.434792
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