Program for calculating different model selection criteria

bobreednz · Unread post by **bobreednz** » Tue Jul 23, 2013 11:20 am

Hi, Is there a program I can download for calculating AIC, SIC, and other model selection criteria after a linreg or boxjenk command?

TomDoan · Unread post by **TomDoan** » Tue Jul 23, 2013 11:25 am

Use the @REGCRITS procedure: see UG-62 in the version 8 User's Guide.

ddngoh · Unread post by **ddngoh** » Sun May 18, 2014 5:37 pm

What are the command for AIC, BIC, SIC for BEKK and DCC models? Thank you

TomDoan · Unread post by **TomDoan** » Sun May 18, 2014 6:17 pm

ddngoh wrote:What are the command for AIC, BIC, SIC for BEKK and DCC models? Thank you

Because @REGCRITS uses the log likelihood as the measure of fit, you can use that after a GARCH instruction as well.

The RATS Software Forum