Hi, I'm slowly working through Tsay's "Analysis of Financial Time Series" 3rd ed. I'm trying to replicate Table 2.1 on p.47, which gives PACF, AIC, and BIC for the monthly simple returns of the CRSP value-weighted index.
The data: http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts3/m-ibm3dx2608.txt > da <- > read.table("http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts3/m-ibm3dx2608.txt";, > header = TRUE) > vw <- da[, 3] I can replicate the PACF calculations. > x <- pacf(vw) > x Partial autocorrelations of series ‘vw’, by lag 1 2 3 4 5 6 7 8 9 10 0.115 -0.030 -0.102 0.033 0.062 -0.050 0.031 0.052 0.063 0.005 11 12 13 14 15 16 17 18 19 20 -0.005 0.011 -0.048 -0.084 0.012 -0.055 0.078 0.021 -0.048 -0.062 21 22 23 24 25 26 27 28 29 -0.060 0.003 -0.025 0.024 -0.041 0.016 -0.023 0.023 0.029 The ar() function returns the same order as indicated in the book(based on AIC), but the AIC values appear to be adjusted so that the minimum AIC value is 0. > m1 <- ar(vw, method = "mle") > m1$order [1] 9 > m1$aic 0 1 2 3 4 5 6 22.329967 10.990260 12.066700 3.350972 4.365413 2.462650 1.960128 7 8 9 10 11 12 3.041666 2.243258 0.000000 1.966641 3.942486 5.811573 According to the book the AIC values are: 0 1 2 3 4 5 6 NA -5.838 -5.837 -5.846 -5.845 -5.847 -5.847 7 8 9 10 11 12 -5.846 -5.847 -5.849 -5.847 -5.845 -5.843 Is there a way to get "unadjusted" AIC values(i.e. values that match the text)? Additionally, is there a way to force ar() to use BIC and return those values? Thank you. James ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
