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