Timeline for VAR - VARX model selection
Current License: CC BY-SA 4.0
6 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Aug 18, 2021 at 9:34 | comment | added | Richard Hardy | @Anthony, you are welcome! | |
| Aug 18, 2021 at 9:32 | comment | added | Anthony | This helps, thanks! | |
| Aug 18, 2021 at 9:31 | vote | accept | Anthony | ||
| Aug 18, 2021 at 9:04 | comment | added | Richard Hardy | @Anthony, we have several threads discussing the prerequisites for model comparison with AIC, e.g. "Prerequisites for AIC model comparison" (but there are more). Having the exact same observations on which the model's likelihood is evaluated is key. If you add or remove dependent variables, this is violated, making AICs incomparable across models. | |
| Aug 18, 2021 at 8:47 | comment | added | Anthony | Thanks for the response. I take your point with doing a Granger-causality test in order to determine the exogeneity of $y_3$. But can the AIC really not be used to compare models with different dependent variables? Or is the point here that we just have a different number of equations (3 vs. 2)? I would be grateful for additional details. | |
| Aug 17, 2021 at 16:32 | history | answered | Richard Hardy | CC BY-SA 4.0 |