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VAR Data Members
Posted: Tue Nov 05, 2013 10:36 am
by RDS
I need to save the Schwarz criterion and the log likelihood of a specific equation of a VAR.
This for example doe not work:
var example_var.ls 1 2 x1 x2 x3
scalar loglikelihood = example_var.@eqlogl(1)
scalar SC = example_var.@schwarz(1)
Re: VAR Data Members
Posted: Tue Nov 05, 2013 10:49 am
by EViews Gareth
VAR data members are located at the start of the VAR section of the Object Reference.
Each object's data members are located at the start of its section in the Object Reference.
Re: VAR Data Members
Posted: Tue Nov 05, 2013 11:10 am
by RDS
Yes, I looked at the Object reference. As said this does not worK:
var example_var.ls 1 2 x1 x2 x3
scalar loglikelihood_x1 = example_var.@eqlogl(1)
scalar SC_x1 = example_var.@sc(1)
The numbers I get are not those reproduced by EVIEWS in its Vector Autoregression Estimates.
Re: VAR Data Members
Posted: Tue Nov 05, 2013 11:25 am
by EViews Gareth
Ah, sorry, I missed the part where you said you wanted the equation specific one. Only the system wide ICs are available from the VAR, not the equation specific ones.
You can, of course calculate it though:
Code: Select all
create u 100
series x1=nrnd
series x2=nrnd
series x3=nrnd
var example_var.ls 1 2 x1 x2 x3
scalar loglikelihood_x1 = example_var.@eqlogl(1)
!t = example_var.@eqregobs(1)
!l = example_var.@eqlogl(1)
!n = example_var.@eqncoef(1)
scalar SC_x1 = -2*!l/!t + !n*@log(!t)/!t
show example_var
show sc_x1
Re: VAR Data Members
Posted: Tue Nov 05, 2013 11:35 am
by RDS
These are the number of your VAR
x1 x2 x3
Log likelihood -144.4427 -132.9798 -138.4324
Schwarz SC 3.275307 3.041371 3.152648
and these are the values of your scalar sc_x1 = 8.78354 and loglikelihood_x1 = -414.34622
They are very different.
Re: VAR Data Members
Posted: Tue Nov 05, 2013 11:41 am
by EViews Gareth
In mine they match. What's the version and build date of your copy of EViews (Help->About EViews)?
Re: VAR Data Members
Posted: Wed Nov 06, 2013 1:43 am
by RDS
Version 7.2
Enterprise edition Sep 23 2011 buid
Re: VAR Data Members
Posted: Wed Nov 06, 2013 7:58 am
by EViews Gareth
Update to the latest version.
Re: VAR Data Members
Posted: Thu Nov 07, 2013 11:01 am
by RDS
There is a bug in eviews 7.2?
Re: VAR Data Members
Posted: Thu Nov 07, 2013 11:16 am
by EViews Gareth
Well that might explain why you're not getting matching results. Your copy is very out of date. There have been 46 patches since your version, each of which contains multiple bug fixes.