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>.

Version:	0.1.0
Imports:	MASS, matrixcalc, Rdpack, stats
Published:	2025-12-08
DOI:	10.32614/CRAN.package.micvar (may not be active yet)
Author:	Michael Hellstern [aut, cre]
Maintainer:	Michael Hellstern <mikeh1 at uw.edu>
License:	GPL (≥ 3)
NeedsCompilation:	no
CRAN checks:	micvar results

Documentation:

Reference manual:

micvar.html , micvar.pdf

Downloads:

Package source:	micvar_0.1.0.tar.gz
Windows binaries:	r-devel: not available, r-release: not available, r-oldrel: not available
macOS binaries:	r-release (arm64): not available, r-oldrel (arm64): not available, r-release (x86_64): not available, r-oldrel (x86_64): not available

Linking:

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