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- Mon Oct 31, 2016 12:22 am
- Forum: Econometric Discussions
- Topic: Calculation of AIC criteria in VAR model
- Replies: 0
- Views: 10663
Calculation of AIC criteria in VAR model
Hello, I found formulas to calculate AIC for vector autoregression model, that show similar results to Eviews calculation for each timeseries separatly in model (ie A1, A2, A3, etc): Log likelihood = -(n / 2) * Ln(SumOfSquares / n) — (n / 2) * Ln(2 * Pi) — (n / 2) AIC = 2 * (k / n) — 2 * LogLik / n ...