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How to loop the number of lags in a VAR?

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Armando MAROZZI
Armando MAROZZI 2020 年 5 月 13 日
編集済み: Armando MAROZZI 2020 年 5 月 13 日
I am fitting a simple var model. What I would like to do is basically choosing the optimal number of lags. I can do it in two ways: Likelihood test or AIC criteria. In either cases, I need to compute as many VAR as the number of lags p. I would like to avoid doing it one by one. I'd rather write a loop but I am failing at it.
This is an example:
% this is one VAR
dataset = rand(100,4)
model = varm(4, 2);
model.SeriesNames = {'I', 'U', 'O', 'W'};
model = estimate(model, dataset);
results = summarize(model)
% I tried this and variations of this but it doesn't work
for j = 2:10
model = varm(4, j);
model = estimate(model, DATASETC.SERIES(:,2:5));
results = summarize(model);
end
% I would like to have all the models stored in 'model' and 'results'
Is there anyone who can help me with this?

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