Re: [Gretl-users] Multivariate infomation criteria
On Mon, 19 Jul 2010, Torben Schmith wrote:
How are information criteria (e.g. AIC) calculated for VAR and VECM?
For
univariate models, the formula is given on page 151 in the
documentation, but what about multivariate models? I can’t find any
documentation in the manual.
They are calculated in basically the same way as for
single-equation estimators, namely AIC = -2 * ll + 2 * k, where ll
is the maximized loglikelihood and k is the number of parameters
estimated, except that, for compatibility with other econometric
software, the criteria are divided by the sample size, T.
Allin Cottrell