IVARStatistics.RCadj

Syntax

RCadj: Double;

Description

The RCadj property returns adjusted determinant for the matrix of residuals covariance.

Comments

A model with a smaller criterion value is preferable.

To get residual covariance matrix determinant, use the IVARStatistics.RC property.

Example

To execute the example, add a link to the Stat system assembly.

Sub UserProc;
Var
    y1, y2: Array[15] Of Double;
    status: Integer;
    VarModel: ISmVectorAutoRegress;
    Eqs: ISlEquations;
    Eq: ISlEquation;
    ARO: Array[2] Of Integer;
    VARStat: IVARStatistics;
Begin
    VarModel := New SmVectorAutoRegress.Create;
    //values of y1 array
    y1[00] := 6209; y1[01] := 6385; y1[02] := 6752; y1[03] := 6837; y1[04] := 6495;
    y1[05] := 6907; y1[06] := 7349; y1[07] := 7213; y1[08] := 7061; y1[09] := 7180;
    y1[10] := 7132; y1[11] := 7137; y1[12] := 7473; y1[13] := 7722; y1[14] := 8088;
    //values of y2 array
    y2[00] := 4110; y2[01] := 4280; y2[02] := 4459; y2[03] := 4545; y2[04] := 4664;
    y2[05] := 4861; y2[06] := 5195; y2[07] := 5389; y2[08] := 5463; y2[09] := 5610;
    y2[10] := 5948; y2[11] := 6218; y2[12] := 6521; y2[13] := 6788; y2[14] := 7222;
    //values of ARO array
    ARO[0]:=1; ARO[1]:=2;
    Eqs := VarModel.Equations;
    Eq := Eqs.Add;
    Eq.Serie.Value := y1;
    Eq.AutoRegressionOrder := ARO;
    Eq.Intercept.Mode := InterceptMode.AutoEstimate;
    Eq := Eqs.Add;
    Eq.Serie.Value := y2;
    Eq.AutoRegressionOrder := ARO;
    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("Akaike information criterion: " + VARStat.AIC.ToString);
            Debug.WriteLine("Value of likelihood function: " + VARStat.LLV.ToString);
            Debug.WriteLine("Residual covarianc matrix determinant: " + VARStat.RC.ToString);
            Debug.WriteLine("Adjusted determinant of residual covariance matrix: " + VARStat.RCadj.ToString);
            Debug.WriteLine("Schwarz criterion: " + VARStat.SC.ToString);
    End If;
End Sub UserProc;

After executing the example the console window displays values of vector autoregression statistics.