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st: modified AIC function

From   Marck Bulter <[email protected]>
To   [email protected]
Subject   st: modified AIC function
Date   Mon, 21 Jan 2008 20:01:53 +0100

Dear Listers,

I would like to know if there is a command that calculates the Modified AIC, see Tong(1990), Threshold models in nonlinear time series analyses. Modified AIC weights (sigma^)^2 by the number of observations. Using the Varsoc function in my panel data (looping varsoc for each i), I think it is biased to those 'i' timeseries with a small number of observations,

Looking forward for your comment,

Marck Bulter

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