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374868
2011 Oct 19
1
ar() - AIC and BIC
Hi,
I'm slowly working through Tsay's "Analysis of Financial Time Series"
3rd ed. ?I'm trying to replicate Table 2.1 on p.47, which gives PACF,
AIC, and BIC for the monthly simple returns of the CRSP value-weighted
index.
The data:
http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts3/m-ibm3dx2608.txt
> da <-