What is the interpretation of the AIC in the vector error correction?
I have 3 AIC. The first 2, are the ones from each regression.
But what is the third one? I see it is the sum of the other two, is it kind of the "global" AIC for the VEC?
I am asking becouse I would like to compare the VEC with an AR(1) model with MA(1) errors, and I dont know which AIC of the VEC should I use to compare the models.
Thanks!!
AIC in vector error correction
Moderators: EViews Gareth, EViews Moderator
-
EViews Gareth
- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13604
- Joined: Tue Sep 16, 2008 5:38 pm
Re: AIC in vector error correction
It is the AIC based on the overall likelihood.
-
andreuarenas
- Posts: 2
- Joined: Thu Feb 24, 2011 11:31 am
Re: AIC in vector error correction
So should I use the overall AIC then to compare the model with an uniequetional dynamic equation? (I.e with an adaptative expectations model, , AR(1) and with MA(1) residuals)????
Who is online
Users browsing this forum: No registered users and 2 guests
