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AIC in SS
Posted: Tue Jan 25, 2011 12:33 am
by 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)
Re: AIC in SS
Posted: Tue Jan 25, 2011 8:25 am
by TomDoan
ivory4 wrote: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)