Package: micvar 0.1.0

micvar: Order Selection in Vector Autoregression by Mean Square Information Criteria

Implements order selection for Vector Autoregressive (VAR) models using the Mean Square Information Criterion (MIC). Unlike standard methods such as AIC and BIC, MIC is likelihood-free. This method consistently estimates VAR order and has robust performance under model misspecification. For more details, see Hellstern and Shojaie (2025) <doi:10.48550/arXiv.2511.19761>.

Authors:Michael Hellstern [aut, cre]

micvar_0.1.0.tar.gz
micvar_0.1.0.zip(r-4.7)micvar_0.1.0.zip(r-4.6)micvar_0.1.0.zip(r-4.5)
micvar_0.1.0.tgz(r-4.6-any)micvar_0.1.0.tgz(r-4.5-any)
micvar_0.1.0.tar.gz(r-4.7-any)micvar_0.1.0.tar.gz(r-4.6-any)
micvar_0.1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
micvar/json (API)

# Install 'micvar' in R:
install.packages('micvar', repos = c('https://mikehellstern.r-universe.dev', 'https://cloud.r-project.org'))

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.00 score 1 stars 111 downloads 4 exports 4 dependencies

Last updated from:04d5026410. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK100
source / vignettesOK168
linux-release-x86_64OK86
macos-release-arm64OK143
macos-oldrel-arm64OK178
windows-develOK60
windows-releaseOK60
windows-oldrelOK56
wasm-releaseOK92

Exports:gen_coef_matmicvarsim_varverify_stability

Dependencies:MASSmatrixcalcrbibutilsRdpack