The RATS Software Forum

Posted: **Tue Jul 23, 2013 11:20 am**

Hi, Is there a program I can download for calculating AIC, SIC, and other model selection criteria after a linreg or boxjenk command?

Posted: **Tue Jul 23, 2013 11:25 am**

Use the @REGCRITS procedure: see UG-62 in the version 8 User's Guide.

Posted: **Sun May 18, 2014 5:37 pm**

What are the command for AIC, BIC, SIC for BEKK and DCC models? Thank you

Posted: **Sun May 18, 2014 6:17 pm**

ddngoh wrote:What are the command for AIC, BIC, SIC for BEKK and DCC models? Thank you

Because @REGCRITS uses the log likelihood as the measure of fit, you can use that after a GARCH instruction as well.

Program for calculating different model selection criteria