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Multivariate Time Series Models: VAR, SVAR and SVEC
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AIC in varselect #14

Open libedeutch opened 1 year ago

libedeutch commented 1 year ago

I noticed that when calculate AIC, the covariance matrix is calculated as crossword(resid), shouldn't it be tcrossprod(resid) or crossword(t(resid))? Thank you!

bpfaff commented 1 year ago

Did you mean crossprod()? Please, have a look at ?crossprod

Best wishes, Bernhard

Von: jyang @.> An: bpfaff/vars @.> Kopie: Subscribed @.**> Datum: 07.09.2022 02:17:52 Betreff: *[bpfaff/vars] AIC in varselect (Issue #14)

I noticed that when calculate AIC, the covariance matrix is calculated as crossword(resid), shouldn't it be tcrossprod(resid) or crossword(t(resid))? Thank you!

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