![]() VARshrink offers ridge, Baysian, and other methods.Provides some functions for recommending the lag order based on this. MTS computes AIC and BIC for most of the models described, and.forecast offers automated model selection, primarily by AICc, for.dse provides a list of information test statistics for estimated. ![]() DREGAR model selection by AIC, BIC, and several others.BigVAR LASSO, group LASSO, elastic nat, and several mor exotic.dLagM automated selection of lag order for each independent. ![]()
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