Hi,
I am doing a VAR model in JMulTi and I wanted to know how to do a likelihood ratio test to determine if I leave out one variable from the VAR, if the model is better off.
I searched the JMulTi help browser and I also tried to see if there is any option in the software to do this when running a VAR (not a SVAR) but I did not get anything.
Can some please let me know if it is possible to do a likelihood ratio test on a VAR model in JMulTi? Thanks.
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Hi,
I am doing a VAR model in JMulTi and I wanted to know how to do a likelihood ratio test to determine if I leave out one variable from the VAR, if the model is better off.
I searched the JMulTi help browser and I also tried to see if there is any option in the software to do this when running a VAR (not a SVAR) but I did not get anything.
Can some please let me know if it is possible to do a likelihood ratio test on a VAR model in JMulTi? Thanks.
Hi,
you are probably looking for this
http://sourceforge.net/p/jmulti/discussion/452487/thread/c922de13/
Still no response.
Cheers,
Manny
Last edit: Manny 2013-06-10
Thanks for bringing this to my attention Manny.
Can one of the moderators or someone who can assist please provide us with any advice on the likelihood ratio test? Thanks.