[R] Calculating AIC for the whole model in VAR

[Bernhard Pfaff]

Am Dienstag, den 21.05.2013, 16:17 +0100 schrieb Prof Brian Ripley: 
> On 21/05/2013 16:11, Dimitri Liakhovitski wrote:
> > Sorry, I am using package "vars"
> 
> So you need to report the bug in that package to its maintainer. 
> ?logLik says
> 
> Value:
> 
>       Returns an object of class ‘logLik’.  This is a number with at
>       least one attribute, ‘"df"’ (*d*egrees of *f*reedom), giving the
>       number of (estimated) parameters in the model.
> 
> and the methods in vars do not comply.
> 
Dear Prof. Ripley,

many thanks for pointing this out. The attributes 'df' and 'nobs' have
been added to logLik.varest() on R-Forge (project 'AICTS II', revision
>= 90); soon to be released on CRAN (package version 1.5-1).

Best,
Bernhard

> >
> >
> > On Tue, May 21, 2013 at 11:09 AM, Prof Brian Ripley
> > <ripley at stats.ox.ac.uk <mailto:ripley at stats.ox.ac.uk>> wrote:
> >
> >     On 21/05/2013 16:00, Dimitri Liakhovitski wrote:
> >
> >         Hello!
> >
> >         I am using package "VAR".
> >
> >
> >     What is that?  There is no such package on CRAN nor BioC.
> >
> >
> >         I've fitted my model:
> >         mymodel<-VAR(mydata,myp,type="__const")
> >
> >         I can extract the Log Liklihood for THE WHOLE MODEL:
> >
> >         logLik(mymodel)
> >
> >         How could I calculate (other than manually) the corresponding Akaike
> >         Information Criterion (AIC)?
> >
> >         I tried AIC - but it does not take mymodel:
> >         AIC(mymodel)
> >         # numeric(0)
> >
> >         Thank you!
> >
> >
> >     This is not reproducible, pace the posting guide.  The default
> >     method for AIC() should work if the logLik() method is written
> >     correctly, so I guess it was not.
> >
> >     --
> >     Brian D. Ripley, ripley at stats.ox.ac.uk <mailto:ripley at stats.ox.ac.uk>
> >     Professor of Applied Statistics,
> >     http://www.stats.ox.ac.uk/~__ripley/
> >     <http://www.stats.ox.ac.uk/~ripley/>
> >     University of Oxford,             Tel: +44 1865 272861
> >     <tel:%2B44%201865%20272861> (self)
> >     1 South Parks Road, +44 1865 272866 <tel:%2B44%201865%20272866> (PA)
> >     Oxford OX1 3TG, UK                Fax: +44 1865 272595
> >     <tel:%2B44%201865%20272595>
> >
> >
> >
> >
> > --
> > Dimitri Liakhovitski
> 
>