N/A AIC when doing lasso varsel
Posted: Mon Jun 02, 2025 10:41 am
Hi Everyone,
Rookie user here. My eviews version is 12 I tried to use the lasso method under varsel.
It is mysterious to me why sometimes the 'criteria graph' under 'model selection summary' doesn't show anything, and the AIC value under criteria table is NA while the model still ran.
Here is an illustration code:
series unrate_level = fred::unrate
series unrate_delta = fred::unrate-fred::unrate(-1)
aic1.varsel(method=lasso, cvmethod=rolling, test=2,cvseed=1) fred::unrate c @ fred::unrate(-3) fred::unrate(-5)
aic2.varsel(method=lasso, cvmethod=rolling, test=2,cvseed=1) unrate_delta c @ unrate_delta(-3) unrate_delta(-5)
Both aic1 and aic2 were estimated. However, aic1 shows the AIC chart properly whereas aic2 does not. Attached the screenshot.
Thank you for your help!
Best
Rookie user here. My eviews version is 12 I tried to use the lasso method under varsel.
It is mysterious to me why sometimes the 'criteria graph' under 'model selection summary' doesn't show anything, and the AIC value under criteria table is NA while the model still ran.
Here is an illustration code:
series unrate_level = fred::unrate
series unrate_delta = fred::unrate-fred::unrate(-1)
aic1.varsel(method=lasso, cvmethod=rolling, test=2,cvseed=1) fred::unrate c @ fred::unrate(-3) fred::unrate(-5)
aic2.varsel(method=lasso, cvmethod=rolling, test=2,cvseed=1) unrate_delta c @ unrate_delta(-3) unrate_delta(-5)
Both aic1 and aic2 were estimated. However, aic1 shows the AIC chart properly whereas aic2 does not. Attached the screenshot.
Thank you for your help!
Best