How to save correct @AIC or @SC in VARS?

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nmark@nd.edu
Posts: 10
Joined: Wed Apr 25, 2018 1:31 pm

How to save correct @AIC or @SC in VARS?

Postby nmark@nd.edu » Fri Oct 04, 2024 1:23 pm

I wrote a little program to estimate a 3 dimensional Vector Autoregression with lags from 1 to 12, and asked to save the AIC and SC from each run, store in the matrix IC:

series r = ffr_shadow
matrix(12,2) IC
for !j = 1 to 12
var v_{!j}
var v_{!j}.ls 1 !j ffr_shadow infl ue
IC(!j,1) = @aic
IC(!j,2) = @sc
next

The matrix becomes:
-0.3678029016072853 0.1906889816519414
-0.3678029016072853 0.1906889816519414
-0.3678029016072853 0.1906889816519414
-0.3678029016072853 0.1906889816519414
-0.3678029016072853 0.1906889816519414
-0.3678029016072853 0.1906889816519414
-0.3678029016072853 0.1906889816519414
-0.3678029016072853 0.1906889816519414
-0.3678029016072853 0.1906889816519414
-0.3678029016072853 0.1906889816519414
-0.3678029016072853 0.1906889816519414
-0.3678029016072853 0.1906889816519414

There is nothing in the outputs of v_1-v_12 that contain these numbers.

nmark@nd.edu
Posts: 10
Joined: Wed Apr 25, 2018 1:31 pm

Re: How to save correct @AIC or @SC in VARS?

Postby nmark@nd.edu » Fri Oct 04, 2024 1:29 pm

Never mind. I figured it out. You need to give the system name
V_1.@aic, etc.

Sorry about that


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