Order selection (p,q)

The GVAR Toolbox 1.1 is designed for the purpose of GVAR modelling.

Brought to you by: gvar2012

Order selection (p,q)

Forum: General Discussion

Creator: Keylor Carmona

Created: 2017-02-04

Updated: 2017-02-04

Keylor Carmona - 2017-02-04

Hi,
I have been studying the GVAR models and now I am running the matlab tool.

Running the gvarBriefDemo, or gvarFullDemo, and looking at the output.xls document, sheets VARX_sc and VARXorder, it seems to me that the final lag order selection is using the maximun AIC, instead of the minimum AIC.

Is this correct, and why would be so?

If you would like to refer to this comment somewhere else in this project, copy and paste the following link:
- GVAR - 2017-02-05
  
  Hello
  
  Yes it is correct. It depends on how the objective function is set-up. You can either minimise or maximise and the two are equivalent. The GVAR toolbox maximises as you correctly point out. See Appendix A7 of the GVAR handbook to see the specifics.
  
  If you would like to refer to this comment somewhere else in this project, copy and paste the following link:

Log in to post a comment.