seemingly unrelated regression and AIC criteria

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Emily89
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Joined: Mon Jun 17, 2013 8:36 am

seemingly unrelated regression and AIC criteria

Postby Emily89 » Tue Jul 02, 2013 3:57 am

Hey!

I am trying to estimate the following regression using seemingly unrelated regression:

y(1,t) = c(1) + c(2)* y (1,t-1) + c(3) * y(1, t-2) + c(4) * x(t-1) + c(5)* x(t-2)
y(2,t) = c(6) + c(7)* y (2,t-1) + c(8) * y(2, t-2) + c(9) * x(t-1) + c(10)*x(t-2)

Each equation includes the lag of its own and the lag of x. Because I don't know whether two lags are the optimal lag number, I want to decide the number of lags by the AIC criteria. I know the AIC could be found in OLS estimation equation, but I don't know where is the AIC in seemingly unrelated estimation.

Could anyone help?

Thank you!!!!!!!

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