The BIC for the VAR is A)BIC(p)= ln[det ( $\hat \Sigma$ _u)] + k(kp+1) $\frac { 2 } { T }$ B)BIC(p)= ln[det ( $\hat \Sigma$ _u)] + k(p+1) $\frac { \ln ( T ) } { T }$ C)BIC(p)= ln[det ( $\hat \Sigma$ _u)] + k(kp+1) $\frac { \ln ( T ) } { T }$ D)BIC(p)= ln[SSR(p)] + k(p+1) $\frac { \ln ( T ) } { T }$

Question

Quizplus · Accepted Answer

The correct formula for the Bayesian Information Criterion (BIC) for a Vector Autoregression (VAR) model includes a penalty term that grows logarithmically with the sample size (T) and is proportional to the number of estimated parameters. The formula is given by BIC(p) = ln[det($\hat{\Sigma}$)] + k(kp+1)$\frac{\ln(T)}{T}$, where $\hat{\Sigma}$ is the estimated variance-covariance matrix of the residuals, k is the number of variables in the VAR, p is the lag order, and T is the sample size. This matches the structure of choice C.

The BIC for the VAR Is A)BIC(p)= Ln[det Σ^\hat \SigmaΣ^

The BIC for the VAR Is
A)BIC(p)= Ln[det $\hat \Sigma$