I am no expert for panel VAR models in STATA.
However, you can always calculate the desired stats "by hand". There are
several different SBC and AIC formulas around. Look into any official ado
file, that calculates the SBC or AIC number for reg, like fitstat for
instance, if you want to see the official formula.
I calculate the numbers by following formula - that differs from the formula
used in fitstat:
capture eret2 scalar aic2=(e(resN)*ln(e(sse)))+(2*e(df_m)), replace
capture eret2 scalar bic2=((e(resN))*ln(e(sse)))+(ln(e(resN))*(e(df_m))),
replace
where resN is the number of residuals and
sse is the manually calculated sum of squared errors
e(df_m) the degrees of freedom of the model
Cheers
Niko
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[mailto:[email protected]] Im Auftrag von
[email protected]
Gesendet: Sonntag, 8. Januar 2006 15:35
An: [email protected]
Betreff: Re: st: panel VAR
i am using Innessa Love's program. Anybody had such an experience?
[email protected]:
> Is there a way to get SBC/AIC for panel VAR model, in STATA or other
> place? Thanks
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
