# R 3.1.1
# selection of a VAR

# given a data set called  
## xy 
# and an estimated VAR model of order p denoted by      
## mod

n <- mod$obs; k <- mod$K; p <- mod$p;

## AIC
n.m <- n - p
aic <- (-2)*logLik(mod)/n.m + 2*p*(k^2)/n.m 
# alternatively
# mod <- VAR(xy, type = "const", exogen = NULL , ic ="AIC")

# Residuals, test with Ljung-Box for WN
source("mq_res_R.txt")
mq_res(resid(mod), 10, p)

## EXERCISE:
#  (1) Choose a VAR according to an information criterion.
#  (2) Test the residuals for white noise. Use mv Ljung-Box with correction 
#      for df's. 

# for rxy
pp <- 3 # change value

mod <- VAR(rxy, type = "const", exogen = NULL , p=pp)
n <- mod$obs; k <- mod$K; p <- mod$p;
n.m <- n - p
aic <- (-2)*logLik(mod)/n.m + 2*p*(k^2)/n.m 
aic
mq_res(resid(mod), 10, pp)