6. We ran a Vector-autoregresive model with five variables: with dtrade (change in trade balance), drex (change in real exchange rate), diipuk (change in Index of UK Industrial production), diipus ((change in Index of US Industrial production) and doilpr (change in Index of Oil price Index) and the result for lag length selection is as follows: Lag 1 2 3 Log-Likelihood 4397.98 4547.56 4591.56 4610.42 4630.33 p-values for Log-Likelihood Ratio Test 0 0 0.049 0.03 AIC -21.2735 -21.8768 -21.9688 -21.6308 -21.5098 SBC -21.2248 -21.5845 -21.433 -21.1597 -20.8915 Which model should you choose based on different criteria and why?
6. We ran a Vector-autoregresive model with five variables: with dtrade (change in trade balance), drex (change in real exchange rate), diipuk (change in Index of UK Industrial production), diipus ((change in Index of US Industrial production) and doilpr (change in Index of Oil price Index) and the result for lag length selection is as follows: Lag 1 2 3 Log-Likelihood 4397.98 4547.56 4591.56 4610.42 4630.33 p-values for Log-Likelihood Ratio Test 0 0 0.049 0.03 AIC -21.2735 -21.8768 -21.9688 -21.6308 -21.5098 SBC -21.2248 -21.5845 -21.433 -21.1597 -20.8915 Which model should you choose based on different criteria and why?
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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We ran a Vector-autoregresive model with five variables: with dtrade (change in trade balance), drex (change in real exchange rate), diipuk (change in Index of UK Industrial production), diipus ((change in Index of US Industrial production) and doilpr (change in Index of Oil price Index) and the result for lag length selection is as follows:
Lag | Log-Likelihood | p-values for Log-likelihood Ratio Test | AIC | SBC |
0 | 4397.98 | -21.2735 | -21.2248 | |
1 | 4547.56 | 0 | -21.8768 | -21.5845 |
2 | 4591.56 | 0 | -21.9688 | -21.433 |
3 | 4610.42 | 0.049 | -21.6308 | -21.1597 |
4 | 4630.33 | 0.03 | -21.5098 | -20.8915 |
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