r-micvar

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>.