[R] Is there a function that runs AR model with Schwarz Bayesian Information Criteria (BIC)?

[Jose Iparraguirre]

The author of the package, Rob J. Hyndman, along with Yeasmin Khandakar, published the paper "Automatic Time Series Forecasting: The forecast Package for R" in the Journal of Statistical Software, July 2008, Volume 27, Issue 3., which is freely available online. You'll find the answer there.
Best,
Jose

________________________________________
From: jpm miao [miaojpm at gmail.com]
Sent: 27 September 2012 14:48
To: Jose Iparraguirre
Cc: r-help; kridox at ymail.com
Subject: Re: [R] Is there a function that runs AR model with Schwarz Bayesian Information Criteria (BIC)?

Thanks. Which function I can use for forecasting if I use the function "auto.arima()"? Should I use the function "forecast" or "predict" or anything else? Thanks,

Miao


2012/9/27 Jose Iparraguirre <Jose.Iparraguirre at ageuk.org.uk><mailto:Jose.Iparraguirre at ageuk.org.uk>>
You'll find this in the forecast package, function auto.arima()
Regards,
José

José Iparraguirre
Chief Economist
Age UK

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-----Original Message-----
From: r-help-bounces at r-project.org<mailto:r-help-bounces at r-project.org> [mailto:r-help-bounces at r-project.org<mailto:r-help-bounces at r-project.org>] On Behalf Of jpm miao
Sent: 27 September 2012 09:43
To: r-help
Subject: [R] Is there a function that runs AR model with Schwarz Bayesian Information Criteria (BIC)?

Hello,

   Is there a function in R by which one can run AR model with Bayesian
Information Criteria (BIC)? To my knowledge, functions ar and ar.ols could
select the order only by AIC.

   Thanks,

Miao

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