RDP 2007-07: More Potent Monetary Policy? Insights from a Threshold Model Appendix C: Model Selection

Jarkko Jääskelä

July 2007

Akaike (AIC) and Schwarz (SIC) information criteria for a VAR with four variables and p lags (in regime i) are given by:

and

where Inline Equation denotes the log-determinant of the estimated variance-covariance matrix of residuals and Ti is the number of observations.

Table C1: Akaike and Schwarz Information Criteria for Model Selection
Moving-average terms for threshold variable
2 3 4
L = 1
d = 1 11.36 10.34 10.77
12.32 11.30 11.74
d = 2 10.73 11.07 11.50
11.69 12.04 12.47
d = 3 11.34 11.05 11.23
12.31 12.02 12.21
d = 4 10.49 11.51 11.68
11.46 12.48 12.66
L = 2
d = 1 11.44 10.36 10.55
13.16 12.09 12.28
d = 2 10.86 10.94 11.24
12.59 12.67 12.99
d = 3 11.02 10.81 9.88
12.76 12.56 11.64
d = 4 10.50 10.23 11.07
12.23 11.98 12.84
L = 3
d = 1 11.26 10.24 10.38
13.74 12.74 12.89
d = 2 10.78 11.07 11.46
13.27 13.59 13.99
d = 3 11.02 11.43 11.39
13.53 13.95 13.93
d = 4 10.57 11.50 11.08
13.09 14.04 13.63
L = 4
d = 1 11.05 10.48 10.86
14.30 13.74 14.14
d = 2 10.30 11.06 11.80
13.56 14.34 15.10
d = 3 11.30 11.46 11.30
14.58 14.76 14.58
d = 4 10.11 11.02 11.23
13.41 14.34 14.57