ISmVectorAutoRegress.VARStatistics

Syntax

VARStatistics: IVARStatistics;

Description

The VARStatistics property returns VAR statistics.

Example

Sub Main;

Var

y1, y2: Array[43] Of Double;

status: Integer;

VarModel: ISmVectorAutoRegress;

Eqs: ISlEquations;

Eq: ISlEquation;

ARO: Array[2] Of Integer;

VARStat: IVARStatistics;

Begin

//values of arrays y1 and y2

y1[00] := 6209; y2[00] := 4110;

y1[01] := 6385; y2[01] := 4280;

y1[02] := 6752; y2[02] := 4459;

y1[03] := 6837; y2[03] := 4545;

y1[04] := 6495; y2[04] := 4664;

y1[05] := 6907; y2[05] := 4861;

y1[06] := 7349; y2[06] := 5195;

y1[07] := 7213; y2[07] := 5389;

y1[08] := 7061; y2[08] := 5463;

y1[09] := 7180; y2[09] := 5610;

y1[10] := 7132; y2[10] := 5948;

y1[11] := 7137; y2[11] := 6218;

y1[12] := 7473; y2[12] := 6521;

y1[13] := 7722; y2[13] := 6788;

y1[14] := 8088; y2[14] := 7222;

y1[15] := 8516; y2[15] := 7486;

y1[16] := 8941; y2[16] := 7832;

y1[17] := 9064; y2[17] := 8153;

y1[18] := 9380; y2[18] := 8468;

y1[19] := 9746; y2[19] := 9054;

y1[20] := 9907; y2[20] := 9499;

y1[21] := 10333; y2[21] := 9866;

y1[22] := 10863; y2[22] := 10217;

y1[23] := 11693; y2[23] := 10763;

y1[24] := 12242; y2[24] := 10683;

y1[25] := 12227; y2[25] := 10494;

y1[26] := 12910; y2[26] := 10938;

y1[27] := 13049; y2[27] := 11198;

y1[28] := 13384; y2[28] := 11546;

y1[29] := 14036; y2[29] := 11865;

y1[30] := 14242; y2[30] := 11781;

y1[31] := 14704; y2[31] := 11681;

y1[32] := 13802; y2[32] := 11903;

y1[33] := 14197; y2[33] := 11900;

y1[34] := 15010; y2[34] := 11986;

y1[35] := 15589; y2[35] := 12206;

y1[36] := 15932; y2[36] := 12734;

y1[37] := 16631; y2[37] := 12990;

y1[38] := 17394; y2[38] := 13516;

y1[39] := 17758; y2[39] := 13866;

y1[40] := 17308; y2[40] := 14141;

y1[41] := 16444; y2[41] := 14141;

y1[42] := 16413; y2[42] := 14237;

VarModel := New SmVectorAutoRegress.Create;

Eqs := VarModel.Equations;

Eq := Eqs.Add;

Eq.Serie.Value := y1;

Eq.AutoRegressionOrder := ARO;

Eq.Forecast.LastPoint := 43;

Eq.Intercept.Mode := InterceptMode.AutoEstimate;

Eq := Eqs.Add;

Eq.Serie.Value := y2;

Eq.AutoRegressionOrder := ARO;

Eq.Forecast.LastPoint := 43;

Eq.Intercept.Mode := InterceptMode.AutoEstimate;

VarModel.ModelPeriod.FirstPoint := 1;

VarModel.ModelPeriod.LastPoint := 43;

status := VarModel.Execute;

If status <> 0 Then

Debug.WriteLine(VarModel.Errors);

Else

VARStat := VarModel.VARStatistics;

Debug.WriteLine("AIC = " + VARStat.AIC.ToString);

Debug.WriteLine("LLV = " + VARStat.LLV.ToString);

Debug.WriteLine("RC = " + VARStat.RC.ToString);

Debug.WriteLine("SC = " + VARStat.SC.ToString);

End If;

End Sub Main;

After executing the example the console window displays values of Var statistics:

Module execution started

AIC = -102.38255495298498

LLV = 2201.2249314891769

RC = 8.9848838037998159E-049

SC = -102.03267587245534

Module execution finished

See also:

ISmVectorAutoRegress