AIC in SS

[ivory4]

Is there any special information criterion defined for State-space model? %AIC %SBC are not working.

Something similar to "A Bootstrap Variant of AIC for StateSpace Model Selection" (Joseph E Cavanaugh and Robert H Shumway)

[TomDoan]

Is there any special information criterion defined for State-space model? %AIC %SBC are not working.

Something similar to "A Bootstrap Variant of AIC for StateSpace Model Selection" (Joseph E Cavanaugh and Robert H Shumway)

No. The same formulas apply. %AIC and %SBC aren't defined by the instruction, but you can compute them using %LOGL, %NREG and %NOBS:

Code: Select all

compute %aic=-2.0*%logl+2*%nreg
compute %sbc=-2.0*%logl+log(%nobs)*%nreg


(or the standardized versions divided by %nobs)