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Corrected AIC / BIC

Posted: Sun Mar 08, 2015 5:40 pm
by diggetybo
In eviews 6, when estimating an AR/MA process is the AIC output automatically corrected to compensate, or is it the normal AIC?

If it's not built into the output, is there a relevant code to cut the procedure down to size for corrected AIC or BIC? I didn't think I saw this listed in the command list.

Re: Corrected AIC / BIC

Posted: Sun Mar 08, 2015 7:49 pm
by EViews Gareth
To which correction are you referring?

Re: Corrected AIC / BIC

Posted: Sun Mar 08, 2015 9:14 pm
by diggetybo
I meant the alternate AIC for ARIMA processes. I believe it is a useful supplement to eviews view ARMA structure feature, when determining ARIMA orders.

The exact criterion would be:
AIC_BIC.png
AIC_BIC.png (32.75 KiB) Viewed 4124 times
I wasn't sure if either of these were built in, or if there was a line of code to view it in a scalar.

One could crunch the numbers manually without too much trouble, but while one modifies a model, the p's, q's and k's could be different every time, computing this by hand has some efficiency drawbacks.

Re: Corrected AIC / BIC

Posted: Mon Mar 09, 2015 12:10 am
by EViews Gareth
No, that correction is not made, although when calculating the standard AIC and BIC, p and q are included in k.