AIC in vector error correction

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

andreuarenas
Posts: 2
Joined: Thu Feb 24, 2011 11:31 am

AIC in vector error correction

Postby andreuarenas » Thu Feb 24, 2011 12:51 pm

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!!

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13604
Joined: Tue Sep 16, 2008 5:38 pm

Re: AIC in vector error correction

Postby EViews Gareth » Thu Feb 24, 2011 12:59 pm

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

Postby andreuarenas » Fri Feb 25, 2011 6:55 am

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)????


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 2 guests