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?
Chapter4: Linear Functions
Section: Chapter Questions
Problem 8PT: Does Table 1 represent a linear function? If so, finda linear equation that models the data.
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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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