i'm working on a VAR model and can't seem to find a code that can help me get my AIC,BIC and HQIC. hoping i can get some help with this. Thanks!

 i'm working on a VAR model and can't seem to find a code that can help me get my AIC,BIC and HQIC. hoping i can get some help with this. Thanks!

Answer 1

[Brandon Eidson]

Hey Paapa, if you have not already, you should probably check out the documentation for the "aic" function (part of the System Identification Toolbox).  It very well may work for your use case.  I have provided a link to its documentation.

https://www.mathworks.com/help/ident/ref/aic.html

There are other AIC and BIC calculations in other toolboxes for other specific applications (e.g., econometrics or machine learning).  If you search for "aic" in MathWorks documentation, you will see links to some of these.

The HIQC can be calculated by implementing a fairly straight-forward equation.  I found one website describing the calculation (linked to below).

https://www.researchgate.net/post/How_do_we_calculate_HQIC_information_criteria_for_time_series_data_when_we_fit_SARIMA_model